You want to know what I'd do? I'll tell you what I'd do!
I'd work on my own fan-version of a future game using Oblivion as the base. I'd completely wipe the stuff that happens in the novels out of the universe and start the story right where Oblivion left off, maybe a couple years later. My character from Oblivion would travel to the different provinces of Tamriel, getting in adventures in each one and forging a new empire of sorts, but one where the provinces agree and get along much better. Then after that phase my character would go to Akavir and get involved there, maybe meeting the Nerevarine and working with them side-by-side to fight whatever evils lay in wait and forging a NEW alliance with the "good" races of Akavir, whichever they may turn out to be.
After that I'd explore the other continents that nobody talks about, like Atmora or Pyandonea, maybe even invent a NEW one. After all that was done I'd maybe travel to other worlds/planes by way of Daedric realms and adventures.
Basically, I'd create mod after mod to keep playing oblivion,creating content, and expanding Lore the way *I* wanted it to unfold, and have fun with Elder Scrolls forever and ever... lol. A bit selfish maybe but that's how it's gonna be if Beth put an end to their production of it.
That's what *I* would do. Yeah buddy!