How do you close the oblivion gate

It depends on which gate you have entered.

The main Oblivion "theme" is solve a puzzle (like finding your way through a maze of tunnels) or fight your way through hordes of enemies. Once you have reached the base of a tower, find the door and enter. If there is a beam of light going up the middle of the tower, all the way to the top, then you are in the right place. Navigate your way through the tower and reach the top. Once you have gone up the wing-like staircase, activate the Sigil Stone. You will then be teleported out of Oblivion, and the gate will close.

Please keep in mind that every Oblivion gate is different, and you will have to do different actions to find your way to the base of the main tower.