Skyrim has radiant quests to keep your character busy with fetch quests forever. Not so in Oblivion. What do you do to keep your character busy?

I read in another thread about how some people made up their own quests to do things like stock every mages guild with the best alchemy gear or to stock the supply closet in the Chironesium with filled grand soul gems. The thought of this made me intrigued.

Have you made up a quest for you character?
What was it and how did you roleplay it? Did you just imagine that someone asked you to do something and then you went out and did it? How do you reward yourself for a job well done?