I have the retail version of Oblivion. Do I have to install other patches prior to the latest?
No, but what retail version do you have? If you have GOTY then it is already patched. Also, I have heard of that error when 1) it is already patched 2) it is cracked in some way (no-cd crack, etc.)
EDIT:Just re-read your post and you said
"When I start Oblivion up it says in the version information that I do indeed have the latest patch".
If you have the latest patch, then you can't patch it again!! If you are missing textures then you have a corrupt install, or a bad mod.