I'm in the same situation as The Unknown Chemist. Oblivion was my first game on the PS3 and I absolutely loved it. A while later I got Fallout 3 and while I still loved both of them, I got insanely jealous of all the PC gamers on the forums bragging about what mods they have, I mean come on we have a whole section about it!!!
On a slightly more helpful note, perhaps try what I did on around my 5th playthrough.
A Dark Elf Battlemage. Make your Major Skills Heavy Armour, Blade, Armourer, Destruction, Restoration, Mysticism and Alteration. Since Illusion is the easiest to build up, just get a cheap "light" spell. At some point make sure you get your hands on some Imperial Guard Armour and don the Mage Hood...also making sure you join the Mages Guild. Also make sure you make some pretty powerful enchanted items, fortifying your magicka as much as you can, but also adding a shield enchantment to make sure that you have the highest defence possible.
Try to use just a sword rather than a shield, so that like in real life, you actually have a hand that you can cast spells out of. Then make sure you make a living off of alchemy, starting off (as I have with my most recent warrior character) making weak potions (as Alteration won't be a major skill of yours, then make sure that you keep making potions and taking "lessons" to improve this skill). Eventually you'll be making quite a bit of gold out of this method.
My God! This has made me realise how much I miss playing a Battlemage...Maybe I can start to train my Nord Warrior up to become a BattleMage