Here's a major suggestion for anyone using an ATi card(I'm using a Sapphire Radeon X1600 Pro 512, for instance): Grab and use ATi Tray Tools. You will NOT regret it!
AA 6x enabled through Oblivion: getting ~30 frames in dungeons.
AA 6x enabled through ATi Tray Tools(disabling the application-specific setting): Getting ~40 frames in the same dungeons.
And it doesn't disable taking screenshots in the game!

(sorry for posting some of this to the screenshot topic as well.. it applies to both, since I'm getting 10-20 frames more using the driver-level AA, compared to the game-level AA)
Just did an actual performance test with the ATi Tray Tools software(Hardware> overlocking settings> bench) and the performance difference is absolutely freaking astounding! o.o
Without AA: 1881.77
With AA 6x: 3476.85
And to compare it to other cards, the Radeon X800 Pro, which has far more graphics power overall than the X1600 Pro, scores 3558.41.
The rating for the X1600 XT, which is the higher level version of the X1600, only scores a 2671.15 on the benchmark. Which means that by enabling hardware-level AA x6, you're almost doubling your performance.
And no, I'm not overclocking at all.