That's a really good observation. When oil is put on water, it floats. However, when it floats, it doesn't form globules like soap; it spreads out as thinly as possible. This creates a layer of oil so thin in some places that it's as thin as the wavelength of light that's enabling you to see the oil. However in other places, it's slightly thicker When light goes towards the oil and tries to get through, some of the light gets reflected back by the layers of oil before it hits the water. The oil is acting a bit like a mirror on top of the water. Because the oil is thicker in some places than others, the light that is reflected back into your eye has had to travel further in some places than others. The light is split into different wavelengths and gives you pretty patterns.
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