I'm playing Oblivion a lot when I have the time, and I've never had it crash on me. Even after buying the GOTY edition and installing it.
I think the key here is the Visual Studio thing, I had a similar issue with a rather crap game called Bet on Soldier. For some bizarre reason, perhaps the Windows system files needed by Oblivion are corrupt or something. Other than that, only thing I could think of is a ram issue/overclocking. I'm clutching at straws, but maybe try checking the ram with Memtest, and reducing an overclock if there is one.
I hope you can get to the bottom of this, becaus Oblivion is a game worth playing. More so than any other game I've played.
Good luck!
I've been turning this around in my head and was wondering the same thing about Visual Studio. I really hate that it installs itself as your default debugger! Will try Memtest also.
Cheers,
Russell.