Dead is Dead player here! My only exception is if my character dies because of a game glitch.
Playing dead is dead forces me to really think about what I'm doing, at all times. I go thru the game usually very slowly. Walking instead of running everywhere (like my nephew), studying a new Ayleid ruin's design for traps instead of just waltzing in. I get very attached to my characters after months (sometimes years) of play, so if one dies it's obviously an emotional moment.
Here's my itinerary (if anyone cares)...

Lady Anne: my first Oblivion character. Forget which race she was, but she got to Level 3. She probably died several times, but I was not playing dead is Dead with her. As my first character, I had her "retire" in Chorrol after delivering the Amulet, so she never officially died.
Renee Gade: 2nd character, an Imperial. Renee was a "jack of all trades" who was trying to take on every quest at the same time. I was not a dead is Dead player yet, so she died/reloaded many times. I had her commit suicide after getting to Level 16 or 17. Her game was very distracting for me because of all the directions & quests, plus I was really hating the leveling system by them.
Renee Gade II: Nord this time. Tried to model her off of Xena, but couldn't get Xena's hair style in vanilla game. lol. She was my first dead is DEAD character. I had her concentrate on Fighter's Guild and KotN. She officially died fighting Umaril.

She had dozens of potions at the time at her various houses (invisibility, healing, etc.) but I was too lazy to collect them all before the epic battle.
Igodah Go^Pe: high elf, head of the Mage's Guild, started the MQ. Never officially died, but her game got affected by the A-bomb glitch. She was literally in one of the final MQ towers when a door would not open for her. She had like 350+ hours on her game (lesson learned). I was so livid.

I RP'd it that she did die though, stuck in that tower.
Dyan phor a' Cauz: my red-headed Nord paladin, mostly doing FG and KotN, currently level 7 or 8. She's still going, although I'm taking a long break from her game.
Wanda Bone: My redguard slave/theif. Illiterate. despite being a theif, she hated the idea of joining the TG, so she was this free character with no goals other than to steal. Paranoid all the time. She never officially died, but I accidently erased all her game saves.
Luci Pheria: dark elf witch. Level 4 or 5. She was kinda like Wanda in that she never took on quests. Just sort of a free-for-all character. She never officially died, but when she became a vampire, I lost interst in her game. The whole vampire thing in Oblivion is sort of an epic fail for me because it's not gorey enough. :shrug: She's currently somewhere lost in the Great Forest.
Beujock the Grey Wizard: My first male character. Level 7.

Obvioulsy my replacement for Igodah: MG and MQ stuff mostly. He's still with me, matter of fact I'm with him now.
Lou Zehr: Second male character. He's another theif, and I just started him last week. He will do the TG. Since he's not really an adventurer, the risk of him dying is pretty low at the moment.