Let's start you off with the UESP wiki site. It is kind of the bible we use here. http://www.uesp.net/wiki/Oblivion:Oblivion
UESP has so much wonderful awesomesauce in it that is can take some time to learn how to fully glean everything from it, so spend plenty of time poking around there. Some would say just play the game and don't use a guide, but I am not one of those. I would study the game mechanics there, then draft what you think may be a reasonable character to suit your needs.
Because again, the site can be a little hard to navigate, you may want to start with this page: http://www.uesp.net/wiki/Oblivion:First_Time_Players
I think your best bet is to play some, then rebuild your character based on what you learn and what develops as your style. Most of us repeated that process many times before settling in to a style that suited us for this somewhat complex but wonderful game.