It works great for me in Wine, version 0.9.49. So if you need it to run, I urge you to try it in Wine. The only clue is that you need to download d3dx9_27.dll - a quick google search will let you download that file, or you can extract it from the cabs on the CD, put it into the Oblivion direectory.
For the GoTY, you might need to do the steps on the wiki below, that wiki also contains a load of other useful information.