My Paladin always carries the following list of equipment.
1.) The highest level of Heavy Armor available to him at his current level.
2.)A variety of enchanted swords, (Umbra for example).
2.) A Black and Burgundy outfit and a pair of Gold Trimmed shoes. (for when I am in cities, be it on a quest or residing there for the night, or when in my castle.)
3.) Different levels of Restore Health, and Restore Fatigue potions.Along with Cure Disease, and Cure Poison potions, and also potions to shield from the elements. I not only use the shielding potions to shield myself from fire, frost, and electric spell effects, but I also role play with these. If in the snowy mountains, I pop a Frost Shield potion, when it's raining I pop an electrical shield potion, to protect myself from lightning.

All potions are home made, saves tons of gold.
3.) The highest level of alchemical apparatus' available to me at the moment.
4.) A variety of alchemical ingredients.
5.)Until I acquire the Skeleton Key, I carry 20 lock picks at a time. Along with five torches, and 10 repair hammers. I like to set limitations for RP purposes.
6.) LOTS OF BOOKS.

Just like in real life, I am a reading addict, so naturally so is my Paladin. After a long ride or walk, I will find an Inn or campsite, sit down at a chair or by the fire, and will pop out a book and read it. I love the books in Oblivion. Very entertaining and also very well written. In real life I have two bookshelves in my room filled with tons of books, and I keep buying more.

7.) Azura's Star for use in recharging my enchanted items.
8.) Food and drink. For RP purposes, I carry various wines, usually the 399 variants, and I shamefully duplicate them so that I have an ample supply. I also carry breads, cheeses, meats, fruits, etc.

9.) A rain robe, for RP purposes.
10.) A basket and tons of apples, ( I have no idea if there are carrots in this game). When I arrive in a city, I walk my horse into the stables, take out the basket, and I place it in front of my horse. I then fill it with apples for my horse to munch on. Still trying to think of a name for her.

I could go on and on, having a blast with the game and my character.