For ATI cards try this:
In the Catalyst Control Center set
- Anti-Aliasing to "Use application settings", filter to "Edge detect"
- Anisotropic Filtering to "Use application settings"
- Catalyst A.I. to "Standard"
- Mipmap Detail Level to "High Quality"
- Wait for vertical refresh to "Always off"
- Adaptive Anti-Aliasing to "Enable Adaptive Anti-Aliasing", "Quality"
In the game set AA to the level you want. Unfortunately this tweak won't fix the resetting of AA upon restarting the game. It works for me. I have a HIS HD 3850 IceQ3 Turbo graphics card.
Or you could easily rename the "Divinity2.exe" into "Oblivion.exe" and turn Catalyst A.I. off since it will cause corrupted shadows

By doing this I'm able to set AA ingame (and everytime I restart the game

).
Auf deutsch: Wenn Ihr 'ne ATi Karte habt, dann nennt mal die "Divinity2.exe" in "Oblivion.exe" um und schaltet dann Catalyst A.I. im CCC aus, da es sonst zu fehlerhafter Schattendarstellung führen kann. Dadurch kann ich ganz normal AA im Game einstellen, bleibt nur leider das Problem mit dem Neustart.
