D3 is a fat soluable vitamin. Really not a vitamin at all but a hormone. It was just named before they really understood what it was.

So the oil that is in the encapsulation is an attempt to get the body to absorb it better. 

Another option is to take it with a meal or snack that contains some form of fat. Doesn't really matter what kind of fat it is for the absorbtion and utilization factor.