1. Suggest getting the Game of the Year Edition which includes Shivering Isles and Knights of the Nine expansions. Both of which are quite famous and popular. I suppose Steam sells some sort of package like that eh?
2. Make sure to patch up, both the official final patch http://www.gamesas.com/topic/477081-patch-dlc-plugin-information/
and the Unofficial Oblivion patch http://oblivion.nexusmods.com/mods/5296
3. Before going for any of the 'major overhaul mods' (like Oscuro's Oblivion Overhaul, and Martigens Monster Mod, as suggested above [which I also highly recommend]) consider playing the game till you feel like you "understand" vanilla pretty well. There are lots of smaller mods that do not fundamentally change vanilla game mechanics which you might consider installing from the start else very shortly after start. Here I have in mind things like "A Takes All," "Harvest Flora," "Keychain," "Denock Arrows," "Actors Can Miss," etc.
Enjoy!
As an extension to this, disregarding the Unofficial Patches which are Fundamental Must Haves - at least try the game as vanilla as possible before diving into the mods. So many folk come on and say "I've just got Oblivion, what mods are best?" - try it vanilla(ish) for a little before you start twiddling with it...
(And that's from someone who is a confirmed modder)!
Also do bear in mind, as has been said, that Oblivion is NOT a prequel to Skyrim, it's NOT like Skyrim AT ALL. It's much more chill and relaxed and does not really work with Technical Character Builds and endless discussions on the minutiae of levelling figures.
Just play who/what you want how you want.