I played Oblivion completely mod-less, and I don't regret it. I know I missed much, but this also allowed me to know the official, original version.
With Skyrim I started playing modless too, but after 100-150 hours I started installing mods. I guess that if you do it carefully, you can get good things. The bad things come when you add too much crap, and risk on creating a game that is maybe too different to the original design (free houses here and there, completely different skill system, etc.).
I own the boxed Oblivion version, but I downloaded it again from Steam on Christmas, when it was on special offer. Yesterday I downloaded Morrowind, which I also have boxed, but for 9$ I could have it on Steam so... I decided to take it. This is another game you should try if you like TES universe. It's very different both from Oblivion and Skyrim. I started playing it long ago but only lasted some hours, because I was with some other games and it requires fulltime dedication.
So, I can't recommend any mods for Oblivion because I don't know any, but I would recommend if you start playing it stock, and after some time, once you know the world, game mechanics, etc... then start trying mods here and there...
Have fun.