Okay, it looks like you have to edit an .ini file in order to take screenshots in the PC version. I messed around trying to find the option last night for a while and finally stumbled on to that. You can find the details on the Oblivion PC page (it's listed under Elder Scrolls IV) over at
gamefaqs. I found this just before I zonked out last night, but hopefully I can get some shots tonight.
On a separate note, I did notice some severe slowdown in framerates last night just in certain outdoor areas. One area was just north of Bruma and there was a lot of tall grass - the bad part was I was trying to fight a guy here, and the lag was prohibitive. Once I retreated to the road, everything sped up again and I beat him down. The other place I really noticed it was just outside of the Imperial City at the stables around dusk. Maybe rendering all the horses gave it problems... I'm not sure. Looks like this is gonna be a game to really test your hardware for a while to come.