I've spent far too much of my life playing Oblivion. My most recent character started out as a sneaky archer type, but ended up being a very adept generalist. By levelling pedantically (concentrating only on the primary stats which required the levels and avoiding ANY wasted advancement in any other skill), I maxed out all of the primary stats except for Luck which topped out at 87 IIRC. At that point it becomes a very straightforward game where you can kill ogres with a slap.
The character was also female - a Breton. I've always found that with RPGs, whenever I play as a male character I am far too gung-ho and die fairly quickly/often. If I play as a female character I feel far more protective of her and end up having far better judgement in battle situations. The male animal in me also appreciates the aesthetics of a female character and I find powerful women attractive.
There's an insight into my nature you all probably didn't need lol. ;-)
I just got Oblivion this past August and love it. My parents got the game for my brother one Christmas and has been playing it pretty much all the time. At first I thought it didn't look that interesting, but eventually he got me hooked. lol I'm usually playing it at least once a day. I've played as most of the races, but I prefer playing as either a Breton or Dark Elf. Right now I'm playing as a Breton battlemage and mostly stick to swords and maces while occasionally using a bow. Anyone else just enjoy being in the Dark Brotherhood? It's my favorite part of the game, especially the quests where you have to break into the Imperial Prison to kill Valen Dreth and the one where you're invited to the party at Summermist Manor.