I usually do perform the main quest as I go through the game because, well, it's a good way to get stronger and gain some interesting new stuff, but it is never really a priority for me. One of the things I do is impose hard level limits on the quest stages, but I'm not too sure how that will hold up with my latest mod-base, as my current gameplay overhaul has been quite surprising (and refreshing, but that's not the point here).
Let me go into more detail as to the reasons I listed that I dislike Oblivion's Main Quest:
1. Boring: This is mostly due to a conglomeration of the reasons below, but the main thing to touch on here is that the Main Quest completely fails to engage the player. Everything that happens has been pre-determined, the story follows a very predictable arc, the only major plot twist is at the very end, and there is no replay value to it.
2. Cliche: Standard Demons from Hell invasion #54,276. Need I say more?
3. Generic: There was absolutely nothing creative done with the Main Quest. No deep look into the religion of the Daedric Cults, no culture for the fabled Dremora who were delegated to little more than bowling pins... in their own realm.
Spoiler The only interesting bit was listening to Camoran's speeches in Paradise.
4. Padded: Oblivion realms were heavily recycled between Gates, you spend roughly a quarter of the entire questline doing artifact shopping for Martin, the Allies for Bruma side-quest was... ugh, don't even get me started on that one. Sure it was optional, but I know why it was there. There was so much flim-flam in between important events it wasn't even funny.
5. Linear: As previously stated, there are no branching paths, no "do these quests in whatever order" moments, you're just going back and forth between dungeon after dungeon on fetch quest after fetch quest.
Besides, if you were in your character's shoes when you found out what needed to happen to rescue Martin, what would you have done?