1. Make sure to choose a custom ****/u>
What this means is that in the beginning you'll be given a choice to choose your **** with 7 MAJOR SKILLS. Don't do the mistake I did and choose a premade ****that has major skills you'll never use(I never used axes, so don't choose BLUNT). You can make a Orc who is good with alchemy but can also summon things while healing people at the same time. These 7 major skills will make you level up, increase them by a combination of 10 and you go up a level, so make sure you choose your 7 skills wisely. You'll be using Blade and Block a lot, and you'll run and jump a lot(Athletics and Acrobatics) so see what you want to choose. Those will go up naturally so you don't have to make those your major skills, you'll be running a lot.
2. When to save, ESPECIALLY at the beginning.
You have to go through a 30 minute dungen sequence before you get to explore the beautiful world of Oblivion. However, before you can be set free, the game asks you whether you want to change your character in any way(they let you experiment in the dungeons and then you can change it). This is a VERY good place to save your game, because when you want to make a new character later, you'll have to go through the 30 minute dungeon all over again. But, if you saved it right before you escape the Sewers, you can always load this save whenever you want to make a new character and save time. Also, just save A LOT, sometimes a glitch might happen or you want to go back. I had over 500 saves, so you might want to do the same. Some had 5000.
3. Easy way to level up some skills.
Block-put the game on the easiest setting and just hold L, enemies will attack you, you hardly use health, and the more you block the better your block gets.
Magic-*** If you constantly reuse a certain magic, it goes up. For example Conjuration summons creatures. You can constantly press the button to summon that creature, and when your magic runs out, sleep(have a bed in front of you while you do this) so that your magic comes back instantly and you keep doing this until your magic goes up to however high you want it to.
Everything else-Just use that skill more, the more you use it the higher it goes, if you play it a lot it will still come naturally.
4. Quests, side quests, Factions, Main Quest
In this game, many people try to do the main quest but they get distracted with other quests. My advice is to do a lot of the factions before you really start on the main quest. You can play however you want to, but if you do all the factions, you'll get some of the best equipment in the game. For example if you're a member of the Fighter's Guild, you can take whatever you want from their building, even if it's an ultra powerful sword, and it won't be considered stealing. The more quests you do the more rewards you get, and these rewards are usually HUGE. Another example is that if you go through the Dark Brotherhood(basically they kill bad people, it's sort of evil in a way), in the middle you get Shadowmere, the best horse in the game, who CAN'T die(other horses can) and will fight(whoever you're fighting, he fights that enemy), and he's faster.
5. PICKING LOCKS
In this game, picking locks can be VERY challenging at times. You go through 5 bars, if you fail one you start all over again. Sometimes there's a chest with a VERY HARD lock that holds treasure but you can't open it. There is a way. It's called the Skeleton Key, the unbreakable lockpick.
http://www.uesp.net/wiki/Oblivion:Nocturnal
When you get this(you must be level 10) you can open any lock and your lockpicks won't break, and trust me lockpicks can become troublesome, as you'll waste them a lot. With this, you can go ANYWHERE you want to in the game, definitely get this!
ing hate fanboy idiots. 
j/k
