I've reached level 20 -- no big deal -- but I am now Arch Mage, the Grey Fox, and Champion of Cyrodill. I've never gotten involved with or in the Arena, Knights of Nine, or Shivering Isle. My sneak is maxed and when I wear the Grey Fox's Cowl and the Ring of Khajit, I can get by any enemy on the run. It makes everything too easy. Yes, I could take off the Cowl, or the Ring, but I earned those things. I have a lovely enchanted bow along with a Staff of Fire. I have just begun the Knights of the Nine and decided to post this question.

What would you do if you were able to move as freely as this? Keep going? Start out with a new character?

Make sure the difficulty is cranked.

1. In Oblivion you have the freedom to build an uber champion of everything character.

2. This beautiful game also gives you the tools and freedom to choose limits to creatively craft a character that perfectly meets whatever your desired level of challenge is.

Since it seems you have trudged down path #1 and found dissatisfaction, let me recommend you start over and try a lighter dance down path #2. If you have figured out how to build an uber character, surely you can work out the nuts and bolts of a more modestly capable one.