Reddit user notadoctoreither shall henceforth be known as king of the Oblivion fans, having spent a month's time and $US130 collecting the countless books scattered across the game's cities and towns into one gorgeous tome, and you can too.
Not only did notadoctoreither gather together every work of fictional fiction and reference in Oblivion, print it, and bind it into one satisfyingly thick volume, he's also uploaded an Open Office document of the text so you can do it yourself, should you feel the need and have the skills (and the toner).
You can see pictures of the construction here, and he's even provided a link to the binding tutorial he used to get the job done. The only thing stopping you is the fact that Skyrim is only a month-and-a-half away and you have better things to do with your time until then.
Oblivion Texts Get Bound Into One Epic Tome [gamerfront -- thanks, Chris!]