First I'll repeat the first piece of advice you'll get when running Oblivion under Windows 7: do not install it to the Program Files directory unless you intend to disable the UAC (User Access Control). This is NOT recommended. So instead you should install someplace outside of Program Files like C:\Games or C:\Games\Bethesda Softworks. Substitute a different drive letter if you like to install on another drive

Ok, now that we've got that out of the way... I found that when I first tried to launch Oblivion, it crashed immediately. After some searching I discovered that the issue was that I have a dual monitor setup. Under Windows 7, for some reason that is completely unknown to me, Nvidia has removed the "Dualview" option. This means that you are pretty much confined to using span with multiple monitors. Oblivion will NOT run with this setting. You have to change your configuration to only use one monitor or install a utility like UltraMon. I installed UltraMon because I'm also modding and I needed the two monitors!
So, if you have a multi-monitor setup under Windows 7, you must disable it or install a third party utility like UltraMon. I don't know if this is also the case for ATI cards.
Construction Set:
Getting this running was also an interesting experience

These are only a couple of tips in what is likely an entire book-full, but I hope they help some of you trying to get this running. Perhaps others can contribute to this thread with their findings...