Ask youself what style you wish to play- archer, magician, warrior, or a hybrid of all three.
The Dark elf is a great race for a mix role, Bosmer is great for an archer, Breton-High Elf for mage and I like Redguard for warrior.
Role play is an awesome way to play Oblivion. Try to come up with a backstory and a goal for the character. Let the character choose their path to that goal.
Some people even let a random roll of the dice determine their character build. It can be fun to not have the hands on the reins all the time.