I figured that there seemed to be enough people here who have played, or are playing this game to deserve its own thread.
I am about 25 hours into my second character, I just beat the Arena and I have a pretty strong character.
I learned much from my first character, like:
1. Never EVER sleep unless you have taken advantage of every possible stat upgrade, or else the NPCs get disproportionately strong
2. Learn alchemy early, and practice it regularly. Potions are the lifeline of the oblivion character (especially at higher levels where you can make potions from a single ingredient.) This is the fastest way to make buttloads of gold. ingredients generally cost between 1-4 gold, each potion can sell for at least 25 gold or higher - any drug dealer will tell you that is a sweet margin of profit.
3. Complete the Mages guild recommendation quests as early as possible, in fact - make these your first few missions. This will allow you to enter the Arcane University. (which in turn allows you to create your own spells and enchant your own weapons)
4. Keep a few potions of "Cure Disease" on you at all times, Vampirism isnt as cool as it sounds.... and there are a myriad of other diseases you can get from the homeless beggars and rats.
5. Never under any circumstances attack a unicorn, if by chance you to accidentally attack one - RUN!! and try and cross a river, Unicorns are slow swimmers and this will allow you to swim across the water and "quick travel" to another location before the unicorn reaches the land.
Please add your tips, tricks and any other game thoughts
Oblivion Wiki - a great resource for any oblivion related info