Most multi-platform games share a large amount of data between platforms, even though the actual executable is different.
Let's look at Half-Life 2 and other Source games. They have lots of *.gcf files inside the Steam\steamapps folder. Those files contain all the multimedia assets (levels, audio, textures, 3D models...), and such data is identical to both Mac and Win versions. Thus, you can safely copy such files from your Mac Steam to your Windows Steam, saving you a few gigabytes of downloads. Then, the Windows Steam will still download Windows-only files, but they are quite small, maybe less then 100MB.
It also works the other way around: copying files from Windows to Mac.
What I've described should also work on most steamplay titles, that are available on Steam for Mac and Windows. (but you might need to copy files from subdirectories inside Steam\steamapps\common)
However, if you want to download a Windows-only game, then you might need to run the Windows version of Steam. You may achieve that using one of the many virtualization options (VMware, VirtualBox, Parallels), or even try your luck running Steam under Wine (but that might be too buggy).
I've not tried it with oblivion, but I have moved games from one steam install to another this way. It should work similarly, but will probably still have to download a few files, mostly the ones that are steamworks encrypted.
1) start the steam download and pause it once it has begun downloading anything. This will create the directory for the game.
2) close steam
3) Copy the disc installed folder into the steam install. This will be something like /Steam/steamapps/common/oblivion/
4) Inside the steam directory is a ClientRegistry.blob file. This tells steam what games and files you have installed. Delete it (or move it to a different location if you prefer, but steam will recreate it on login).
5) Restart steam. It will verify the files it has, and hopefully most of the art files are the same from the disc version to the steam version.
6) After it's done downloading, right click on oblivion, go into properties and select the local files tab. Press the "Verify Integrity of Game Cache" button. This will force steam to checksum the files and download any that don't match exactly.
I'm not sure how much downloading it will save you, but I would expect the art files and the majority of the resource files won't need downloaded.
Best Answer
It is definitely possible to do with external hard drive that has enough room for all of your video games file. I recommend this with an external hard drive since it takes less space. But it is definite doable with a laptop.
You will need to use a steam library folder on the external hard drive.
To create a new steam library. Go to Steam on top left, click setting, go to download tab, click steam library folders. Click on add steam library folder. Navigate to where your external hard drive is.
You can freely move from the external hard drive onboard your home PC by moving from external steam library to your local PC's steam folder. Just make that ALL of your video game files end up in the steamapp\\ on your local PC.
The best part is once you are done transferring the file over while steam is offline, once you boot up steam. It will look in steamapp for anything new and add it in your steam library list.
Even if something end up partially complete, steam will download what was not done. IE if you download only 500 MB out of 600 MB. Steam on your local PC will download the rest for you.