Let's get this out of the way first - I'm a freak.
Now the questions:
Is there an online checklist for quests and books? Or anything close to that?
Are there any completionists out there with a bit of advice?
Just a word of advice. You could completely spoil the entire game, by looking at this http://www.uesp.net/wiki/Main_Page. I did not check the wiki or this forum for about three playthroughs. Just talk to the people in-game, to find all your quests. And if you do get all quests, there are some that are never-ending, and will always be in your quest log, the Arena comes to mind. I choose to roleplay my characters, haven't even done the Main Quest yet, and I'm level 30. You can choose to do all quests or none, do whatever you like, that's why I love Oblivion. I'd stay in the General Discussion forum, so as not to spoil yourself. Good luck!