A knight is always busy in Oblivion, with the Fighters Guild, KoTN and the Arena on the side. Same goes for a thief of assassin.

But what about mages? You'll be done with the Mages Guild questline by the time you're level 10.

And I'll be honest, wandering aimlessly in the wilderness and clearing dungeons randomly isn't for me.

A mage is suitable for most of the quest lines you mentioned, the exceptions being the Fighters Guild and possibly KOTN (although I can envision a battlemage or spellsword taking them on.) Mages are very well suited for the Main Quest, and are devastating in the Arena.

One approach would be to begin the Main Quest and Mages Guild in parallel, getting access to the Arcane University (for spellmaking and enchanting) early in the Main Quest. There are several items that can be picked up during the Mages Guild questline that can be particularly useful in the Main Quest, and vice versa.

Who do you think fills the soul gems that the guild shops sell? I'm talking things like fully filling grand soul gems.

Who investigates and stops the activities of rogue mages? Not just folks like Earana, Caminalda and Ancotar, but every necrodude and conjurer in the province bent on killing innocent travelers?

Who do you think gets all those dangerous ingredients for the guild shops? Things like vampire dust, void salts, clannfear claws, spiddal stick. . . .

Someone has to field test some of the wonderful custom and combination spells being constantly crafted at the Praxographical Center.

My mystic archer mage is only a Journeyman in her guild, but they keep her hopping all over Cyrodiil! And in her travels, she provides all the magic scrolls she finds to the guild and some of the best first hand detail for the guild's cartography department as well. Oh, not to mention looking into strange and unfamiliar magicks like those used by Daedra Lords . . . . Whew! A mage's work is never done!