It's been confirmed by Eurogamer that Elder Scrolls V will be a direct sequel to Oblivion. Here are the quotes:

"[Our] source not only confirmed that the game is in current production, but also spoke briefly about the content — with fantasy-sounding phrases like Dragon Lord, something with The Blades — and that voice acting for the characters in the game is currently happening in the weeks to follow", Eurogamer Denmark's boss Kristian West says.

"The same source confirmed, with official game documents in hand, that this will be the chronological sequel to what happened in The Elder Scrolls IV: Oblivion, which is the latest game in the now 16-years-old Elder Scrolls saga and by itself one of the better RPGs for PC and consoles."

It's about time in my opinion, Fallout 3 and New Vegas are great, but I think most Bethesda fans have been wanting a sequel to Oblivion for a while now.