i've learned that its more fun to have oblivion for the PC than the Xbox 360, at least with the mods. I've learned that its easier than first thought to be a mage or archer and it has great benefits. and finally... i've learned never to eat rat meat
You can become a Dragon in the end of your life. You can't equip your mom's necklace because it's not yours. You can't reload a quick-save in your life if you've mistaken something. You can easily learn EVERYTHING in your life. When you become stronger, your enemies become stronger too. If you're a famous person your can pray when you're sick and get healed right away.
Spoiler
If you play too much Oblivion, you'll hurt your eyes!
I learned you shouldn't go off into a field and level up to level 10 making restore fatigue potions before attempting to complete any of the quests. Once you do, you will have your butt handed to you.