Keep in mind that Oblivion is... What, 6 years old? Obviously the loading screens are shorter, as tech has improved so much since then.
I guess that's the problem with consoles that last a while
if I'm not mistaken, playing Skyrim with a completely up-to-date computer doesn't have horrible load times
so skyrim, being more demanding than oblivon, takes longer to load on the same system
it sucks
isn't microsoft about due for a new console anyway? the 360 is way old, and the only thing they've done with it is add more USB slots, built-in wireless, and change its appearance
really they should upgrade the hardware that matters, instead of changing the software three times