So I installed OBGE and tried to tinker with it for a bit. In game, I activated the Oblivion Graphics Extender Support menu in the COBL options, and the screen froze for a brief moment. Now, what happened afterward was everything was blurry - the depth of field kicked in. The frame-rate was worse than Crysis on Ultra-High. I have a fairly powerful computer, so it didn't kill my videocards right away.
I obviously couldn't play like that, so I tried to access the support menu, but the menu does not come up at all. Some errors appeared in the command line when I pulled that up.
But after exiting to see if I could fix that and see what was going on, my shaderlist.txt was blank, and the OBGE settings were set to use shaderlist. Why did all these shaders kick in, when I had the list blank? Why was the menu not operational?
So I reentered Oblivion, and NONE of my saves would work right. As soon as they were done loading, CTD. I uninstalled OBGE, deleted anything related to OBGE, restored a back-up of Oblivion.ini, and still NONE of the saves work right. I checked for save-game bloat and anything else I could with WRYE-BASH, nothing works.
What should I do?
Wow. I have no idea how you managed that. OBGE adds shaders to the game, so long as you specify them to be added, but doesn't touch save games at all. You must have done something very wrong in the installation

You can either start disabling mods one by one to work out which is giving you the problem (
well, disable half, see if you can load the game. Then try again with the other half. If it crashes with one half but not the other, you're off to a good start) or...
Make a backup of your save folder and re-install Oblivion, after having un-installed it properly and deleting all of its data folders etc. You'll have to re-install all your mods again, but you'll be back to a working copy of the game. From that point, make sure you read all the installation texts of any mods you use. Some of them work differently to others and can't be installed by just dropping them into the Oblivion folder, OBGE being one of them. You'll run into a lot of incompatibilities otherwise.
I had a similar issue when I first started modding Oblivion. Once I got the hang of installing I just assumed I was a pro, started dropping mods into the data folder left right and centre, and lo-and-behold, I ended up with the same problem as you eventually. Instant CTD on loading. The game always crashed at the exact same point on the loading bar. The save games aren't the problem though, it's your installation.