I've been playing Skyrim since it first came out and now I'm about to start Oblivion, so I'm just looking for some tips for someone who is familiar with the Skyrim game mechanics vs. the Oblivion.

I generally play a mage/hybrid class (either a Spellsword or a Sneak Mage). Is this still a good idea for Oblivion?

Should I tackle some mini side quests before gettng started right away on the Main Quest?

Any other random tips/suggestions I should know about?

Edited to add: What level should I be before I tackle the Knights of Nine and SI DLCs?

http://www.uesp.net/wiki/Differences_Between_Morrowind,_Oblivion,_and_Skyrim could be useful to you, if you've never played Oblivion
Spell swords and sneak mages can still work, just remember there is an extra magic school; Mysticism.
I'd also do some sidequests to get used to the game, then tackle the main quest as and when you please