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Let me explain by telling my own experience as a bit of a newbie to Oblivion:
For example, I just found out that my so-called Altmer "Enchantress" (my custom mage class with all magic classes as major skills and blade) is... kind of an incompetent mage.
I wanted to make her a pure mage... but I cannot play her that way.
She only uses basic spells and just only recently learned how to make potions. She relies more on a plain iron sword (or whatever she can scavenge) and some alchemy items than anything else. I don't know how to enchant anything or make/combine? spells at all, not to mention I can never afford anything anyway. (She's like me, scared of caves and dungeons for fear of the undead, so she wanders the wilderness and does above-ground quests/chores for people).
Most of the time, I found out that she plays more like an assassin (which was what Baurus the guard practically recommended in the first place!) or a warrior (with only basic spells) than a straight-up mage, lol.
She plays very differently than my previous mage character and practically lives on whatever items or weapons that dead bodies leave behind. She's like... a scavenger-warrior than a sophisticated pure mage, lol. Uh, whoops?
She also wears more practical light armor than pretty dresses and is a little more tougher than my previous girly-girl mage character.
I really enjoy discovering my character's way of life and fighting style. It gives her a bit of a ...weird charm and personality, I guess.
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So:
1) Have you played a character that suddenly played differently than whatever class you may have originally planned for him/her to be?
2) Or plays differently than what the guard, Baurus, expects?
3) Or does your character plays exactly how you (or Baurus) expects him/her to be?