Suppose if i write a website
<html>
<title>Test <script>//my javascript code</script></title>
<body>
</body>
</html>
and embed it as oembed link then, well your imagination is your only limitation what could be done with the entire website.
I have seen and read the most of the oxwall scripts but I did not find any good prevention of any attacks and i really feel bad about it. I hope you guys can do better.
And one more thing, if you guys want then you guys can use my oEmbed script which I made for my own website I am developing currently and I would love that.