I so loved Morrowind that I refused to believe Oblivion could approach it in anything more then graphics and speed, but I was wrong. Oblivion has all the freedom of past TES but much, much more role play involvement, like the actors must have worked weeks to have all the things recorded. I love the horses, and miss flying and some of the old tricks, but I can always fly around Vvardenfel for old times sake should I want.
You can really be anything you want and make up classes to suit you. Like I was playing a strait mage but found the swords fun to use so now I am training that hard (tho admittedly unlike Morrowind) my ability to train is stopped at 5 lessons per level. That means I have to get in game practice outside of the guild halls. As a Mage I just summon a skeleton and attack that.
There is an http://www.uesp.net/wiki/Tes4Mod:Unofficial_Oblivion_Patch that does some of the more exhausting fixes Bethesda didn't have time for. TES games also have player 'mods' that enhance, change, or expand the game in some way
I would suggest playing a mage. I got 5 levels with a perfume bottle on my cast key for summoning spells. Conjuration is nice, you have your undead tank and throw fire around. Destruction has many more spells then just elemental ones. I like the fire when it works. Being a Mage gives you access to enchanting and alchemy. Alchemy is great money right from the get out. I just saw I have made more then 3000 potions, but I like picking the herbs. Hate bears tho. Flipping bear ate my Dremora Lord tonight. I like the Dremora Lord. I can go invisible now, so I try not to get near the bears, haunts, and demons unless I am sure to win. Anyone can like do alchemy, just some classes and races have it easier.
Learned how to poison today. Killed a scary necromancer chick with some poison. Was a good thing.
Still don't be a Mage if you want to be tough. All my muscle waxes and wans, here one sec and omg, ouch. Good thing for potions.
magicka