Before we start, bear in mind I'm a sax player, so I may be somewhat biased, but I'll try to be fair.
Oboes are, comparatively, very expensive. An advanced student alto saxophone (and at your level, I wouldn't go for a beginner's instrument, to be honest) will set you back around £1000 new, whereas a similar level oboe will cost half as much again. Checkout John Myatt's or Sheehans' websites for prices. I believe the oboe is also considerably more difficult to learn, but I've never played one, so couldn't comment.
Yes, there are millions of sax players out there, but not so many good ones. You would have a choice of at least four sizes and the more you can play, the more employable a commodity you'll be to the music industry, especially if you can double on flute and/or clarinet.
The technique required for the oboe is adaptable to cors anglais and bassoon. Whilst ours isn't the only wind band to be crying out for oboists/bassoonists, wind bands and classical orchestras are about the only places you'll find them in any number. There's no reason why you can't play jazz or even rock with an oboe, of course, but you'd be hard pushed to find, say, a big band to take you on.
Having said all this, I know saxophonists and oboists who are in regular demand for pit work, as pit bands can vary so much in their requirements. Also, don't get the impression that you'll be more likely to find work just because there aren't so many players of your instrument - you still have to be good!