PC, Oblivion GOTY Edition, Steam version
I can create my carachter, but right as Valen Dreth starts talking the game crashes with the generic "application has stopped working" window.
I am on a slightly overclocked system, but I dont have MSI Afterburner or any other monitoring applications up when I try to play.
Help?

Please post a dxdiag:
Start - Run (if Vista/Win7, the search box acts like Run) - type dxdiag - hit Enter - "save all info" button - open txt file and copy/paste EVERYTHING here

Picture of process: http://www.windowsresource.net/cimages/gotodxdiag.jpg

Are you using a custom race by any chance?