Moving this examples off the main page. I'm assuming the objections apply to all games in the series, perhaps someone can clarify about the earlier games...
Oblivion doesn't appear to be a good example: the main quest is very easy to find and stick to, and the side quests are quite goal-directed.
* The Elder Scrolls series seems designed to induce this state in players. In fact, just exploring aimlessly is often more entertaining than the plot.
Objection: when aimless exploration and combat are enjoyable, then the game is a properly doneWide Open Sandbox. It's when you've no idea what the heck you're supposed to do that it becomes a Quicksand Box, and games in the TES series (or at least Morrowind and Oblivion) never leave you with no clue as to what your next objective is. In fact, the compass in Oblivion always has your current quest objectives marked...
Notably, you can avoid even starting the plot of Oblivion at all (at least, the Kvatch part) until you are a level 57 literal God of Madness. Alternately, you can finish the main quest at level 2.
The best example of this is probably the counter for "discovered locations" that implicitly encourage you to completely abandon the plot to just go galavanting about on horseback looking for the hundreds of random caves and dungeons scattered about Cyrodiil, much less the Nirnroot quest, which has you rummaging through the entire gameworld for plants. Granted, the scenery on the world map is much prettier on the overworld than in dungeons and/or Oblivion, so why not just go for a stroll?