I've been running Oneiric with Wubi since early on in the development cycle - but it was an upgraded Natty. I finally got around to doing some installation testing on Oneiric - a week or so after the Alpha3 was released.
The first thing I tried was just running off the latest daily ISO. I downloaded the latest wubi.exe from here and let it download the ISO. It took a long time, probably because the bittorrent download isn't very fast when there aren't many seeds. I guess it's faster to download through the browser. At any rate, a couple of hours later, I did the install (wubi.exe and the oneiric iso in the same folder) and let it run. Once I rebooted to complete the install, it failed. Apparently the kernel and initrd on the ISO were bad as it couldn't mount my windows partition. There was a helpful message to run chkdsk /r and reboot twice into Windows, but that was wishful thinking. This is part of alpha testing - probably if I tried on Monday it would work. I'll find out later and create a bug if it doesn't.
So I decided to drop back to the alpha3. The only issue with this is that the ISO is oversized so it won't fit on a CD (and I downloaded it on another machine). So rather than burn a DVD I reused an Ubuntu USB stick I had sitting around. Note, I just copied the ISO to the root of the USB - installing Wubi from an Ubuntu USB doesn't work (in most cases), but it's okay if you just copy the ISO to the root. Note: if you're trying to install an older version of the ISO like this you have to disable your internet connection or wubi.exe will try to download the latest available ISO.
Anyway - the install went fine. The only issue was that it took a long time 'detecting file systems'. I had a peek in the logs and it seemed that it was trying to mount the root.disk, but whether this was the cause of the delay I cannot say. I'll dig into that in more depth later.
Then I ran all updates (250MB since Alpha 3 was released) - because there are some cool changes to Unity that I read about and I wanted to check out.
I've been running Oneiric on my another computer (i3, 4GB RAM) and it's been great. For the alpha test I used an older machine (core 2 duo, 1GB RAM) and it's very sluggish. But it works okay, and Unity 3D is working on the X1300 ATI card.
So in summary, Oneiric Alpha 3 worked fine with Wubi. The more testing the better - so try it out, file some bugs, help make it better for everybody. If you have questions, post them at https://answers.launchpad.net/wubi/+addquestion