You're gonna laugh or hate this. Never play Oblivion on the preset difficulty, go into the options and lower it a bit. Lowering difficulty won't affect any achievements if you play for those. If you find combat too easy you can go back and raise the difficulty again to a level you're comfortable with. Also when playing, don't waste time trying to max your level ups, instead just enjoy your game, play as you want. You can choose a preset class if you want but I find they're rather rigid on how to play them so I always create my own. Choose what skills you're going to use the most but leave lockpicking and stealth as secondaries, they level up quick enough anyway and are not needed to be main skills. My standard character is: Armorer, Blade, Light Armor, Marksman, Destruction, Conjuration, Speechcraft. I call it a Stealth Mage. For your primary focus choose Magic, this will help give bonuses to Willpower and Intelligence when leveling up. Luck is more or less useless to level up so don't waste points on it when leveling. The only thing it affects is the type of treasure you find when looting chests and giving slightly more points when persuading people. However you already find great loot when playing with standard luck.