After a very long wait, I've finally got my hands on a copy of Oblivion. It is just awesome. I really think I am going to enjoy this a lot more than even Morrowind (which is one of my fave games ever). I did need to buy a new graphics card to run it tho!
Having just finished playing World of Warcraft (my first MMORPG), it has become clear on the main difference between MMORPGs and normal RPGs, and how they can both exist alongside each other:
Basically, MMORPGs mean that you can play with friends, and tackle quests that would normally be too hard by playing with someone else, and this is excellent fun, and something that normal RPGs mostly miss out on. However, there is something that normal RPGs have the MMORPGs find almost impossible to implement; long-term/permanent changes to the gaming world as a direct result of your actions. The only thing I didn't like about WoW was that no matter what I did in a quest for whoever, ultimately nothing changed. Everything resets so that others can do the quest. In RPGs like Morrowind, you can affect massive changes to the world, and progress through stages like building your own estate, and if you kill an NPC, they stay dead, unlike in WoW where they just respawn.
So there you go, that's my opinion on why MMORPGs and normal RPGs are both awesome in their own ways!