There are a few options.
If you use OBSE then a log of OBSE events are generated in the OBSE log - created new with each game play - found at the top of the Oblivion game directory.
Another great tool is http://www.tesnexus.com/downloads/file.php?id=26510 (requires OBSE) - it saves to a similar txt file all the console spam.
Many ini driven mods have a debug option so that extra spam is generated - when used with Conscribe I've been able to identify several causes to crashes and/or put me on the right trail.
Other than those -- critical thinking is another good tool. Thinking about when the crashes happen - what events in the game are occurring -- those things tell a lot.