Long post.
Well, I agree that Oblivion's dungeons have a similar "feel" among the individual types, but bear in mind the world Bethesda is trying to create. In Oblivion, all the ruined forts look similar (not the same, but similar style) because they were constructed by the same society at roughly the same period in Tamriel's history. Go tour some ancient Roman ruins in Italy, and I'm sure you'll get the same "feel" amongst all the buildings. I can't speak for WoW (never played), but Cyrodiil is one province probably on top of one type of bedrock, which would suggest lots of similar caves. To arbitrarily have different styles would feel out of place.
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However, Bethesda does a good job differentiating in certain spots. Early on in the game you "crash" the Mythic Dawn's party, so to speak, in their cave, which is really stylistically done IMO. Also, there are side quests where you actually go into an impressionist painting and fight painted monsters. EXTREMELY artistically done, I think. Also, there is one instance in which you go into a mage's dream, which is also spectacularly done.
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Plus, each city has it's own architectural style, drawing on influences from surround provinces. Different landscapes dot the different climate areas. The list goes on and on. Oh, and the water effects cannot be compared to any game out today. *Sigh* All right, I'll stop ranting. I'm just too in love with this game now and feel I have to defend it at every given moment.