Gamespot is a PRIME example of the latter. I bet by the end of today or tomorrow they'll have a review of Oblivion up. Guaranteed they've had the game for at least a month.
Gaming sites don't always get the games months in advance. Just Oblivion is a good example of this, as there has been an "online embargo", and the major review sites recieved their copies of the game just yesterday morning (mentioned both in an 1UP article, as well as during Gamespot's Greg Kasavin's 12 hour live gameplay session yesterday).
This is, of course, done when a publisher works out a deal with a gaming site/magazine, and gives that publication the exclusive rights to publish the first review. Not sure if this is the case regarding Oblivion, though, but it does seem likely. I'm sure there are many gaming magazines that would pay good money - or advertisement space - to be the first one to print an Oblivion review.