Some enterprising soul studying computer science has put together a modification that allows two people to run around The Elder Scrolls: Oblivion together.
Called MultiTES4, the mod puts two players in the same world, where they appear as NPCs to one another. Future versions aim to include support for eight players, and even competitive game modes like deathmatch and capture-the-flag.
It's still in alpha though, so there's a bit of a way to go. At the moment, time synchronisation, quest sharing and "pretty much everything else you can think of" hasn't been implemented - and you can't share inventories or attributes.
But, providing the mod's author keeps going with it, it's entirely possible we'll see it. And, he says, "If things at uni become to busy, or I generally lose interest in the mod, I'll probably release my source code (once I get around to commenting it all) and let the Oblivion community mod it as they please," so there's hope whatever happens.
To download the alpha version and read more about MultiTES4, beat on to the mod's website.