Thank you all so much for all the great advice. I am so happy to learn that I will be able to play a mage and do not have to re roll and also know that it is a game I will really enjoy, because I like the atmosphere. I played Fallout for a long time and loved it, but the atmosphere in Oblivion is more my cup of tea. I usually play Multiplayer games for years on end and only started on singleplayer games recently due to lack of new MMO's and being sick of Wow etc etc.My problem with singleplayer games was that they seemed 'too short'. But this game seems to have a huge content and I will probably be playing it for a very long time..................great!
I am also surprised that even though the game was released quite a long time ago, there are still so many active people on the forum, that is a good sign that a game is great.
Warning: wall of text coming your way!
First of all, I bet you will really enjoy Oblivion, if you give it some time to get used to some things that may seem weird or counterintuitive at first. This game is quite different from WoW and other rpgs in some ways, but you'll learn to appreciate (or mod) it. But indeed, the game has a lot of content, and as you will see many people say on these forums, once you're done there are tons of mods that are of really high quality and offer extra content, or even give the game a huge overhaul.
As said above, the mage is a very versatile choice. Indeed, you run out of mana fast in this game. As a mage, I always get my willpower up as fast as possible. With 100 willpower, it takes 30-something seconds to refill an empty magicka bar. (38 I think). Suppose you have 380 magicka, it amounts to 10 mana/second (or 50 mp5 to speak in WoW terms

). You can examine the costs of your spells and figure out how many spells you would be able to cast in a constant rotation (e.g. keep a shielding spell up, a conjured creature, and cast a heal once in a while). Since every second, a percentage of your mana bar is regenerated (opposed to a fixed number of magicka), once you increase your intelligence, you also increase your mana regen, because the percentage regenerated every second amounts to more magicka. So really, the sky is the limit, especially once you start enchanting gear with fortify magicka. But I'm playing an Atronach at the moment (which means I don't have any mana regen except spell absorption), and I can tell you, I've learned that a mage does not need that much mana in the average fight, provided you use your brains when picking your spells. If you DO need a lot of mana, just make sure you keep mana regen potions on you. Alchemy will make you a lot of money and plenty of potions in no time. It's probably the most powerful thing ingame.
As someone said, a lot of people think mages are about destruction, but in my opinion a powerful mage will never need to resort to destruction. I repeat, alchemy = win. Make sure you get your alchemy skills up high, because you can make a number of extremely useful potions, and sell the rest for good profit. Specialize in a few magic schools, one way to go is illusion, to get to high levels of chameleon and good invisibility spells (sort of magic-based rogue). A good combination is using 'command ...' spells to let enemies fight for you, while you maintain invisibility. Another option would be to specialize in conjuration, think of the warlock in WoW. Restoration is always good to have, once you can craft your own spells, you can make nice HoTs, and the standard heals you can learn from any trainer are good immediate heals. Like said above, combine 'weakness to [element]' with a 'damage [element]' spell, and get a staff with the same element. This will make you burn through foes, but remember that some foes (partially) resist some elements. A nice all-rounder is 'weakness to magic' with 'damage health'. This will hit everyone the same, but is generally a bit weaker compared to the mana cost.
Anyway, plenty ways to go by. You also mentioned leveling, which is important, with you coming from WoW and all. In this game, it's done very differently and somewhat counterintuitively. And it is potentially indeed very slow, but I will tell you how to deal with that. You can find plenty of info about the leveling system on this forum and various sites, but I will go into some detail below. After that I'll mention a mod that makes leveling more similar to WoW, I use that mod personally and it made the game much more enjoyable for me.
As you know, you pick a number of major skills at the start of the game. Each skill is governed by an attribute. Naturally, once you start the game you will pick the major skills that you intend to use a lot (in your case, most (if not all) magic schools (and alchemy), because you will start out at a higher skill level and they will also increase faster when you use them. But, in practise this will not work. Once you level up, you can increase 3 attributes by a certain amount of points. The amount of points (1-5) that you will be given depends on how many skills you have increase this level that governed the particular attribute. Example: if you have alchemy as a major skill, and you would level up by increasing that skill 10 times without increasing any other skills, you would get the following. (I am not sure if alchemy is governed by willpower or intelligence, but in this example I'll assume it's willpower). You will level up, and get a +5 bonus on willpower. The other two attributes you choose (probably intelligence and e.g. endurance), will only have a +1 bonus. This matters, because in Oblivion, once you level, the world levels up too, and foes become more powerful. In order to not get weaker compared to your enemies, you have to get those attribute bonusses as high as possible. The way to do this is to increase minor skills enough to get the attribute bonusses up, and then use your major skills to actually level up. The best way to do is is to choose major skills that you don't use often, and can increase in a controlled manner. This means that you will only be choosing 1-2 magic schools as major skills, and for the rest you choose semi-worthless skills. Again, if you want a better explanation, search the forums, or check the oblivion wiki. To summarize, increasing your level will be slow (at least until you learn how to increase skills efficiently), and you need to do some paper-and-pencil work to make sure your get your attribute bonusses right, plus it forces you to pick major skills you don't actually want, making the game harder at the start (but hopefully easier once you progress). If you ignore this system, the game will start out reasonably easy but get progressively harder.
If you come to dislike this system (the best way to get to know it is to give it a try), there are great mods out there to beat it. The most obvious choice, seeing as you come from WoW, is to install Oblivion XP. This mod will give you an experience bar like in WoW, and instead of leveling through using skills (thereby increasing them, eventually leading to a levelup) you get experience by completing quests, killing enemies, making potions, and so fort. Once you level, you get a certain amount of points to increase attributes, and a certain amount of points to increase skills. It's less realistic, but more intuitive for many. You can pick the major skills you actually want to use, and level them up just the way you like it. It allows you to specialize, so you can totally design your own custom magic-based class, using the schools you like. Another important thing to realize is that in Oblivion, while leveling is slow, it will not get slower as you get higher level (for me it tends to go faster at higher levels). In WoW, you start out much faster, but the last levels are very slow. Oblivion XP is like WoW, the first level requires only 1800-ish XP, while the really high levels go as far as 50000 XP. (you can also configure this yourself.)
A different approach is to install a mod that changes the game, so that instead of the world leveling with you, you get a static world where enemies have a set level. This will mean that some content will be impossible to do in the beginning, and other content will get really easy after a while, instead of all the content being pretty much of the same difficulty, which will increase as your own level increases. A good mod for this is Oscuro's Oblivion Overhaul, but that mod also changes a lot of the game's content. There are also mods out there that just alter the world-leveling system, but I don't know any names.
Also, Oscuro's Overhaul and Oblivion XP make a great mix. That's the way I'm playing now, and I absolutely love it. The leveling system is powerful and intuitive, and the game's more interesting content is appropriately high leveled, so that you have to stay on your toes all the time and be sensible about where you go and what you do.