For Oblivion, you've only got two ways of getting around: fast-travel and slow-travel. All of that wonderful Guild Guide, Intervention spells, Silt Striders, Boats, and Mark/Recall from Morrowind are gone. On the one hand, this is not really that much of a loss. The fast-travel system (open your world map, click on your destination and *poof*) works very well and gets you where you want to go with a minimum of fuss and bother. Of course, if something isn't on your map or you haven't already been there, you're out of luck and are going to have to hoof it. I miss having a "Get me out of here" safety net, though.
A couple of warnings about fast-travel (as in when you can't do it). You cannot initiate fast-travel from indoors. You have to step outside first. Additionally, you cannot initiate fast-travel if some creature has detected you and is in attack mode (which means watch out for those stinkin' mudcrabs - they aren't as annoying as Morrowind's Cliff Racers, but they're a close second). If you're undetected or if no one is wanting to beat on you, you should be able to fast-travel with no problem. If you get the "enemies are nearby" message, stealth yourself and see if the eye is lit up. You also cannot fast-travel if you are taking damage, so you'll have to wait for damaging spell effects to wear off before you can hightail it out of there. Note that time does not stand still while you're fast-traveling. All you really manage to do is get to your destination without any intervening distractions (there goes half the fun). Anyway, the game factors in your attributes, encumbrance, magical effects and whether you're mounted or not when it calculates your travel time. So if you want to shorten your travel time, get a horse and travel light.
Speaking of time, about 1 to 1.5 seconds of real time is equal to about a minute of game time. I haven't timed it with a stop-watch, but I've done slow-counts and checked the game time while I was waiting for something and that's fairly close.
Which leaves slow-travel. If you consider that Kvatch is visible from Skingrad, hoofing it really isn't that big of a deal. And with all of the effort that the devs expended to make it such a graphically lush world, it seems kind of a waste not to get out and enjoy the fresh air (not counting the sulpherous reek of the occasional Oblivion Gate, of course). It really is pretty much a case of point yourself in the right direction, hit "Always Run" (default is Caps Lock) and "Auto Move" (default is Q) and off you go. You don't even lose Fatigue while you're doing it.
I guess as a kind of sop to some of the long-time Elder Scrolls players, Oblivion does let you have a horse. The horse can run faster and jump better than you can (looks great in 3rd person pespective, btw), but controlling the horse's direction and movement while simultaneously controlling the character's view kind of taxes my hand-eye coordination so I'm not extremely enthused about it. You cannot engage in combat from horseback, however. So if you get bushwhacked, you're either going to have to dismount in order to fight or emulate brave, brave Sir Robin.