A tip for the beginner in Oblivion. You start in a dungeon, a certain person will meet you and ask a lot of questions
- then at the end of very long tunnel you can change these answers if you're not happy with them. You can even decide which skills are going to be your major skills etc.
I tend to forgot this, as I normally play a characters that wears medium or heavy armour, is very good with a bow and a sword or maybe an axe.
In order to level up correctly I have to pick the bow as a major skill.
In Oblivion, you level up when your major skills goes up 10 points, I think? (it's been a while since I played this game....)
The best thing is this:
You can do exactly as you please, if you do not care for the main quest, ignore it, and check out the beautiful landscapes etc. If you care for the main quest, go finish it. And then finish the rest of the quests in the game...