Dragon Age: Origins is probably a game you'll want to check out. Doesn't get released until Friday over here in the UK so I haven't played it, but it might be what you're looking for. Sounds like it has a deep story line and has been billed as the 'spiritual successor' to the Baldur's Gate series. Combat looks like point and click type of fighting so its not going to be as intense as Fallout 3, but you should definatley check out a few reviews and see what you think of it.
Other than that, I can't think of much that will match Fallout 3 or Oblivion. You might like the Morrowind series, I think there was a version released for the Xbox (not 360) but can't really remember, maybe worth a look. Oblivion is probably worth another look as well, once you get going, some of the sub stories are pretty good.
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