Daggerfall began with a shipwreck that dumps you into a dungeon. Morrowind began with you on a prison ship, being released into service. Oblivion simply continues the tradition, with a starter dungeon (Morrowind broke that tradition).
Morrowind pretty much had a starter town with its own dungeon. I'd quite like this to return, it helps you adjust into your new world, and feel a part of it. In oblivion I came out of the sewers and thought "crap. What do I do now?" Seyda Neen at least taught you the rudiments of game mechanics, while oblivion only really teaches you combat and a bit of alchemy. It wouldn't bother me now, but as a newcomer to these types of Western RPG, it was a bit confusing in Oblivion.
In Oblivion, you're in a cell that the guards are supposed to keep empty at all times. Valen Dreth acts like it's the first time he's seen you. He makes a point of harassing anyone that goes through his end of the prison, and he hasn't done so to you before? I swear you were suddenly crafted into being by something and then placed in the cell.
Maybe he was asleep when you were brought in?
I like oblivion's opening sequence, it sort of feels like I'm entering media res, with little explanation beyond some general remarks about Tamriel from Uriel, but nothing about you. In Morowind, Azura cacks up my roleplaying by telling me I'm from the imperial city, an immigrant who's being exiled here, which ultimately leads to everyone, even fellow Imperials, calling me outlander, even if I happen to be a Dunmer from half a mile outside Suran.