Yeah, Xbox 360 @ 720P is really a beautiful thing. I actually held out on buying an HDTV until I got the 360, and all the games I've played look fantastic. If you can use the VGA instead of the component cables, it'll look even better (save your HDMI for the PS3 if Sony ever drops the price, even if MS releases a cable).
Oblivion is a great game - the more you put into it the more you'll enjoy it, but you should try it just to enjoy the graphics (not the women, lol).
DOA4 - stunning how good it looks. I just wish it played better as it quickly turns into a rock paper scissors game. Fun with 2 people but you'll probably get pissed off playing the computer at length. MS needs to get Namco and Sega putting fighters on this box.
PDZ - Looks good, but it felt like it should've looked better. Fun game though.
If you've got the x360 on the net, download the demo for Lost Planet. Wow, felt like I was watching Starship Troopers on Planet Hoth watching a buddy play, and it was fun when I got my shot.
The FNR3 demo was a lot of fun too - I love how the blood just shoots across the screen with a good punch.
I'd give you more opinions on good games, but Oblivion is taking up too much playtime for me to get to them.