So I'm trying to recreate the Ring from LotR in Oblivion, and I want to find one of the games models to edit. In Morrowind, I had a Construction Set CD that had all of the game data on it, where is this in Oblivion?

Packed inside the BSAs. Names should be self-descriptive, Oblivion - Meshes.bsa has the meshes and Oblivion - Textures - Compressed.bsa the textures.
To access them there are many tools. http://oblivion.nexusmods.com/mods/3311 or http://oblivion.nexusmods.com/mods/2097 are the most used AFAIK. Or use the http://oblivion.nexusmods.com/mods/36370 to browse them directly in the editor. That one can wait if you've just started modding Oblivion though.

Thanks.