Back in 2006 (I think, SI just came out), I went over to a friends place for a bit (My Mum and his Mum work together, so sometimes I went over to his house when they had work) and saw him and his brother playing Oblivion, after a while watching him I asked whether I could have a go, he said sure and I started my first adventure into the world of TES. I was 11, and had (and still do have) an over-active imagination, this means that gruesome violence and horror scares the CRAP out of me (though I have recently become desensitized to most games, bar Amnesia). I started my first character, and Imperial that I tried to create as close to myself as possible. I started the tutorial and eventually got into the caves area, where you encounter the zombie... I saw it, paused the game, quit, and didn't sleep for about three days after that...
Thankfully, a while later, my friend did the rest of the tutorial for me while I wasn't there, filled me in with what I missed, and I continued my adventure, I never entered a cave or dungeon again. (Until I finally willed myself to, a few years later. Now I can play Fallout 3 and pretty much anything else that isn't Amnesia, without not being able to sleep)
And that is my first memory of Oblivion. I was eventually introduced to Morrowind, and played that much more than Oblivion, because of it's lack of zombies.