NWN and BG are both fairly heavyweight RPGs, being based on D&D rules. They can baffle the best of us at times - I still don't fully understand 3rd edition rules (NWN). I don't know enough about Oblivion to say whether or not it would be suitable for a 'first' RPG - console RPGs tend to be more accessible than PC-only ones, so maybe it would be?
Oblivion is suited to 1st person view, Nwn is suited for 3rd. Oblivion is going to have far superior graphics. Far far far superior.
Never played Oblivion, so this may not entirely apply, but I did play the bejeezus out of Morrowind and I imagine they're pretty much the same. From an ruleset standpoint, Morrowind was a skill based system instead of a class based (D&D) system. Skill based systems are good if done well, and Morrowind wasn't really done well. At high levels characters became really homogenous. Need to pick a lock? No problem. If you are running a high intelligence wizard, just use a lock pick spell. If you are running a high strength fighter, just bash the lock open. If you are running a high dexterity thief, pick the lock. Towards the end of the game, this started bugging me. It was kind of an "all roads lead to Rome" approach. Anyhow, Bethesda game tend to be pretty forgiving when it comes to character building. Nwn is forgiving in class selection (by throwing in henchmen). Pick your poison.
Compared to the SPECIAL system used by Fallout, it was really lame. That being said, Morrowind was a hoot of a game... just not groundbreaking in an RPG sense. And anytime someone mentions Fallout and a Bethesda product, I feel the need to express reservations about Fallout 3.
Maybe consider picking up Morrowind for the cheap and Bootcamp it before playing Oblivion. Morrowind and NWN are kinda contemporary to each other, where as Oblivion is clearly enjoys a couple of generations of improvements over NWN.