^Don't trust http://www.uesp.net/wiki/Oblivion:M%27aiq_the_Liar!
That's the first advice to dispense! Ha ha. j/k.
I'll say the main thing I usually say...
don't fast travel, especially early on. Walk, run, or ride to your destinations. There's a lot of hidden content out there in the countryside! A lot of encounters. A lot of stuff you'll miss if you just blow thru the game from point A to point B.
Walking or riding around also allows you to get to spend more time with your character, to get to "know" your character further. As a lot of us here have noticed, this entity you've created will indeed show you some things about his/her world, existence, and way of life if you allow this to happen. He or she may even teach you a few things about
your way of life on EArth! This sounds corny, I know, but it's happened to many of us here.
There's other advice I could give you, but everybody winds up playing the game in their own manner. I prefer, for instance, to have several characters, each one specializing in a certain set of larger quest lines (Fighter's Guild and Knights of the Nine for instance, or Mage's Guild + Main Quest) rather than one character who's a jack of all trades.