Being a PC gamer you may already be familiar with this general rule, but it holds especially true for Elderscolls games. Keep multiple manual save files of your character, back them up once in a while, and do not rely on autosave. It may save you some grief in a situation where the best solution is to reload a previous save.

Do whatever you want, go wherever you want. You want to be a mage in heavy armor, go right ahead. You want to be a thief, they will find you. There is really no way to get a serious leg up as your skills only increase through use.

Play for a few hours, and make notes of the kind of things you wish were in the game, but aren't. Then ask here about mods that fit the things you want. You also might want to check the advanced search categories on TES Nexus, the premiere site for Oblivion mods, just to get a flavor of what's out there.

As for mods you should get regardless, I would suggest the http://www.tesnexus.com/downloads/file.php?id=5296, and the http://www.tesnexus.com/downloads/file.php?id=10739 (assuming the expansion comes in your package). These literally fix thousands of problems, mostly small but a few big ones, that gamesas never got around to.

For the rest: the main game issue many have isn't leveling, but scaling. That is, that merchants' inventory, enemies, and enemy loot scale to your character's level. Depending upon how you play, this can really break the game immersion--or it may not bother you, at all. If the former, there are a range of mods that offer fixes for this.

Good luck, and enjoy.

Don't worry about the leveling. As you level up, you'll gain perks and more spells will become available to you (as in, you'll be able to use them), that if you have any interest in magic. As long as you play on 0 or -something difficulty you won't feel underpowered,. Really. Raising the difficulty changes things, of course. BUt hey, you asked for it.

Welcome to TES.

Don't worry about the leveling system. Just play, explore, enjoy. As your character's level rises, you may find that the way you have played and the bonuses you have earned are more than enough to keep you "competitive" with the enemies in the world. If so, that's great. If you find things, over time, getting too difficult then that's where the difficulty slider comes into play. There is nothing wrong with sliding it one or more notches to the left. It's there for that reason.

Really, just play. In many ways I envy you, as your mind is practically an empty canvas when it comes to this game, the painting is about to begin!

Later on, weeks or months (or even years) down the road, your own experience with the game and its systems might lead you make new characters, designed in some way to reflect what you have learned about the game and its systems. That, too, can provide great joy and satisfaction. But my advice is: do not be in a rush to game the game, this really is a special experience. One I still enjoy after quite a few years. And your first character most definitely can (and should) be enjoyed to the fullest, with no need for study or numbers-based advice.

Enjoy!

I can′t stress this enough. It has saved me many times from jumping off the roof in frustration

SAVE, SAVE, AND SAVE AGAIN.

As has been pointed out - if you never do anything else in Oblivion, do this.

Even better, get an autosave mod to make multiple saves for you, like Streamline or http://www.tesnexus.com/downloads/file.php?id=22136

I would suggest first getting familiar with the game by saving often and using some sort of all-around character such as a battlemage. Try out magic, swords, axes, whatever and just explore. Don't worry if your character dies often at first but also feel free to use the difficulty slider to ease the reloads.

In time, You will get better at surviving and might want to roll a more interesting character. Having a sandbox environment allows a much deeper immersion into the characters themselves.

Many of us play as mentors and guides to our character rather than seeing ourself as saving Cyrodiil singlehandedly. If the character is interesting, it can become like watching an endlessly fascinating movie. Instead of knowing exactly who your character is from the start, you discover them over time.

Make them live with the consequences of small mistakes that inevitably occur from time to time instead of reloading. You will learn how they think. I have had characters laugh at being arrested for accidentally touching an item in a store while others have been profoundly humiliated by the experience. They have mourned the loss of some prized weapon or artifact. They have failed to complete a quest. They have even refused a quest or dropped it because they found it distasteful to them. Making them live with the reality was far more interesting than fixing things with a reload.

While you're at it, have a closer look at the towns, ruins, and shrines. There are scores of unique statues throughout the game representing hundreds of hours of 3D modeling and texturing by skilled artists. The forest animals are highly detailed and accurately animated including appropriate sounds. The Daedra are also quite creatively done. My point is, there is so much to see that it's easier to just ignore it. Take your time and discover.

With respect, I can't agree about autosave--or quicksave, for that matter. They're both buggy, were in Morrowind and Oblivion, causing saved game corruption over time.

Besides, it's better not to reply on a mod, but instead think yourself into a pattern of saving at what appear to be important points (right before entering a new dungeon, for example, or finishing a quest), and using a timer to remember the importance of saving every 30 minutes.

Those mods don't use the autosave or quicksave, they make new full saves in a rotating set of slots. In fact, I believe both the popular ones recommend disabling auto/quicksave entirely and using automatic full saves instead.

And I agree, you want to make your own saves because the mod ones are recycled but that's in addition. They're to cover the "I've got so into the game I forgot to save for 3 hours and now it's crashed! Oh dear, how unfortunate" (or words to that effect)