Creating your Character
Character creation is always a huge part of any RPG, and Oblivion is no exception. A lot of the game is amorphous, very few things are locked down to a stereotype.
Attributes
Since leveling levels every monster with you then getting the most attributes out of every level. You can gain attribute bonuses by training corresponding skills. More details on the Attributes Page.
Class
Oblivion has 21 pre defined template classes. You could go with any one of those, but many of them have a weakness or repeated skill you don't want. Because of this Bethesda gave you the option of creating your own custom class. You can pick your own attribute bonuses, main skills, and name. More details on the Class Page.
Skills
The most influencial things you'll actually noticer in oblivion are skills. There are 17 skills all on a scale of 1 to 100. Every 25 points a drastic increase in abilities occurs. Skills are mostly gained by using it over and over. Skills come in minor and major and major skills are the cause of leveling up. More details on the Skills Page.