You can buy spells in The Elder Scrolls IV: Oblivion from specialized spell merchants found in almost every major city across Cyrodiil, except the destroyed city of Kvatch. These merchants are typically located in:

• Mages Guild branches in major cities (such as Chorrol, Skingrad, Leyawiin, and the Imperial City)
• Great Chapels in major towns and cities
• Magic shops like Edgar's Discount Spells and the Mystic Emporium in the Imperial City Market District
• The Arcane University in the Imperial City, which sells the most powerful spells once you have leveled your magic skills sufficiently
• Dunbarrow Cove (available via DLC), which has some spell vendors after upgrades

Spell merchants specialize in various schools of magic, so you may need to visit specific locations depending on the type of spell you want (e.g., Mysticism spells are sold by certain vendors in the Leyawiin and Skingrad Mages Guilds, as well as the Arcane University)

. Additionally, priests inside chapels also sell spells, and some unique vendors like M'raaj-Dar in the Dark Brotherhood or the shop "A Warlock's Luck" in Bravil carry spells as well

. In summary, the best places to buy spells in Oblivion are the Mages Guild halls, Great Chapels, magic shops in major cities, and the Arcane University in the Imperial City. If you have the DLC, Dunbarrow Cove is another option