Never played Oblivion, but games like Crysis 2 have huge problems with it. Like Blue stated, it's mostly lazy devs trying to cover up shoddy texture and lighting work by over blooming the game. It's used a lot in console games due to the console's limited capabilities.
Ah yep Crysis 2. Yeah, they make textures for both pc and consoles, no wonder they have to blur the view to cover the mess, lol. I remember, back then fog was also used to visually put a limit over the area that had to be rendered. By today they just let you set the degree of visual distance that you want - or can - render.
Things like bloom though are artistic mostly. A game like Oblivion can use it because it more fantasy than real. Having bloom then is valid because it gives a dreamy look.
yeah, i used to disable bloom and run the shaders. It was a bit too dreamy for me.