I have now redownloaded Braid, and was not only given my old save file, but achievements based on my existing progress.
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.
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I played the demo on Steam (4gb download) and then purchased the game on Steam (another 4gb download). It seems silly but this is the way they have it set up.