They do not. When you lose all object you own leave the game and any spells or abilities on the stack cease to exist. Because it is a triggered ability that brings the cards back they just remain in exile.
When you leave the game, everything you own goes with you. This includes your Oblivion Rings.
Even though they left the battlefield, the triggers they created are also objects you own, so they leave too. This means that they won't return the things the Oblivion Rings exiled, so the exiled cards are just stuck in exile.
Compare this to something like Banishing Light. Since that isn't a trigger, but rather just an immediate end of an effect, the exiled card would go back to your opponent.
So because the text on Oblivion Ring says “return to battlefield” instead of “until it leaves” (like on Banishing Light that creates a triggered ability that leaves with the player when he/she dies?
No, the key difference is two triggered abilities (both beginning with "when") versus one triggered ability with a duration ("until"). In the former example, when the second "when" happens the ability is just wiped off the stack anyhow and in the second the permanent just comes back because the duration ends; there's nothing to go on the stack and no period of delay.
If I have three of them in play and I die. Do my opponents get the cards back on the battlefield that were previously exiled?
Thanks!
Even though they left the battlefield, the triggers they created are also objects you own, so they leave too. This means that they won't return the things the Oblivion Rings exiled, so the exiled cards are just stuck in exile.
Compare this to something like Banishing Light. Since that isn't a trigger, but rather just an immediate end of an effect, the exiled card would go back to your opponent.
Thanks all for your help!
I̟̥͍̠ͅn̩͉̣͍̬͚ͅ ̬̬͖t̯̹̞̺͖͓̯̤h̘͍̬e͙̯͈̖̼̮ ̭̬f̺̲̲̪i͙͉̟̩̰r̪̝͚͈̝̥͍̝̲s̼̻͇̘̳͔ͅt̲̺̳̗̜̪̙ ̳̺̥̻͚̗ͅm̜̜̟̰͈͓͎͇o̝̖̮̝͇m̯̻̞̼̫̗͓̤e̩̯̬̮̩n͎̱̪̲̹͖t͇̖s̰̮ͅ,̤̲͙̻̭̻̯̹̰ ̖t̫̙̺̯͖͚̯ͅh͙̯̦̳̗̰̟e͖̪͉̼̯ ̪͕g̞̣͔a̗̦t̬̬͓͙̫̖̭̻e̩̻̯ ̜̖̦̖̤̭͙̬t̞̹̥̪͎͉ͅo͕͚͍͇̲͇͓̺ ̭̬͙͈̣̻t͈͍͙͓̫̖͙̩h̪̬̖̙e̗͈ ̗̬̟̞̺̤͉̯ͅa̦̯͚̙̜̮f͉͙̲̣̞̼t̪̤̞̣͚e̲͉̳̥r͇̪̙͚͓l̥̞̞͎̹̯̹ͅi͓̬f̮̥̬̞͈ͅe͎ ̟̩̤̳̠̯̩̯o̮̘̲p̟͚̣̞͉͓e͍̩̣n͔̼͕͚̜e̬̱d̼̘͎̖̹͍̮̠,͖̺̭̱̮ ̣̲͖̬̪̭̥a̪͚n̟̲̝̤̤̞̗d̘̱̗͇̮͕̳͕͔ ͖̞͉͎t̹̙͎h̰̱͉̗e̪̞̱̝̹̩ͅ ̠̱̩̭̦p̯̙e͓o̳͚̰̯̺̱̰͔̘p̬͎̱̣̼̩͇l̗̟̖͚̠e̱͉͔̱̦̬̟̙ ̖͚̪͔̼̦w̺̖̤̱e͖̗̻̦͓̖̘̜r̭̥e͔̹̫̱͕̦̰͕ ̗͔̠p̠̗͍͍̱̳̠r̰͔͎̰o͉̥͓̰͚̥s̟͚̹̱͔̣t͉̙̳̖͖̪̮r̥̘̥͙̹a͉̟̫̟̳̠̟̭t͈̜̰͈͎e̞̣̭̲̬ ͚̗̯̟͙i͍͖̰̘̦͖͉ṇ̮̻̯̦̲̩͍ ̦̮͚̫̤t͉͖̫͕ͅͅh͙̮̻̘̣̮̼e͕̺ ͙l͕̠͎̰̥i̲͓͉̲g̫̳̟͈͇̖h̠̦̖t͓̯͎̗ ̳̪̘̟̙̩̦o̫̲f̙͔̰̙̠ ̹̪̗͇̯t͖̼̼͉͖̬h̹͇̩e͚̖̺̤͉̹͕̪ ͚͓̭̝̺G͎̗̯̩o̫̯̮̟̮̳̘d̜̲͙̠-̩̳̯̲̗̜P̹̘̥͉̝h͍͈̗̖̝ͅa͍̗̮̼̗r̜̖͇̙̺a̭̺͔̞̳͈o̪̣͓̯̬͙̯̰̗h̖̦͈̥̯͔.͇̣̙̝