The answer for most visitors is simple: come for Carnaval, which falls on the Saturday before Ash Wednesday (usually February or early March). This is when Oruro transforms from a scrappy mining city into one of the greatest festival destinations in South America. Book accommodation months ahead — the city fills completely.
Outside carnival season, Oruro is at its most bearable between October and April, when the altiplano gets some rain and temperatures are slightly less punishing. The dry winter months (May through September) bring bitter cold at night — the city sits at 3,700 metres and winter nights can drop below freezing. The thin air affects most visitors; altitude sickness is common on arrival and takes a day or two to pass. Don't plan to do much on your first day.