Will-o-the-wisps are a unique enemy in Oblivion since they're seemingly immune to all damage and just don't stop chasing you. Their ceaseless nature is matched only by their lethality, able to steal your health and magicka if they get too close...
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How to kill will-o-the-wisps in Oblivion Remastered
Source: PC Gamer (opens in a new tab)