Works great under the latest Wine. May require some tweaking to get off the ground, but there's a great thread on the subject at http://ubuntuforums.org/showthread.php?t=349764 and a guide based on the thread at http://www.uesp.net/wiki/Oblivion:Linux

DirectX can be simulated using several tricks or installed directly under wine.

Several issues exist such as graphics eccentricities, and a random screen flip during loading, but very little that actually affects play.