Ok, so I've just bought Oblivion for the PS3 (standard edition, not GOTY). Could some of you great forum guys/gals, give me a little advice on how to aproach the game? I'm looking to get a good feel for TES and enjoy Oblivion as much as I can before Skyrim hits. What sort of character is best for an all rounder or do I first really need to decide if I want to sneak or run on head first, I'm not much into spell flinging to be honest. Are there any builds I could look at that would be good to experience the best of Oblivion? Reading up a little before the game arrived has got me a little lost and baffeled, there seems to be so much to take into account when creating a character. What quests should I look out for first? Should I do the main quest or run off and delve into the side quests, if so, what are the best quest lines to follow? Any advice, tips or help would be real welcome. Thanksl

Start a disposable all-defaults character and play for a while. Once you know enough, go back and start again. That way, when you read any of the posts here, they'll mean something and you'll be able to make the right decisions.

You can do side-quests at almost any time (a few have level requirements) and there are several quest lines that can be done in parallel. Many people do the Mages Guild early at least up to entry to the Arcane University. The spell-making and enchanting perks are useful to most types of character. Other than that, do things at random and find out what YOU like to do.

Do the quests in whichever order you want. Do what you want, how you want, when you want, that is the beauty of Oblivion.
Here's an http://www.gamesas.com/index.php?/topic/939912-oblivion-character-database/ thread people have contributed toward with their character build ideas. Have a look through and see if there is one that interests you.
Here's a guide for http://www.uesp.net/wiki/Oblivion:First_Time_Players. UESP Wiki has EVERYTHING you ever need to know about Oblivion, so be careful where you venture on that website less you spoil parts of the game for yourself.

If you didnt open it, return it to the store you bought it from,
A better version of Oblivion for PS3 is coming out next month