There are several things in Oblivion that should be experienced by every player. Some hold valuble treasure. Some are just worth the trip. Some just have some weird things inside. Enjoy!
Dive rock is a high mountian on the north-eastern border of Cyrodiil, near Cheydinhal. It's quite long a trek to get to, so be prepared for a fight. We'll get to that later.
More than likely you'll pass Aerin's Camp on the way up. Don't worry, there are no bandits, just a Nord named Torbern. He is also a master trainer in Acrobatics. A short walk southeast, you'll find Walker Camp, with two Dark Elves who are Thugs. They won't attack you either.
When you are at Dive Rock, you'll find an unoccupied campsite, and find a journal that belongs to a person called Agnar the Unwavering. The journal describes his wedding to Sveenja Snow-Song, his leadership of the Thirsk Settlement, and their quest to destroy a creature called the "Uderfrykte Matron".
If you've played the Bloodmoon expansion from Morrowind, these names will be familiar. You can meet Sveenja, kill a monster called the Uderfrykte, and become leader of the settlement. You will now face it's mother. Finish the Journal, it has useful information. The creature has a 100% Chameleon ability, 500 hp, and is immune to frost. But it has a Weakness to fire, so an enchanted blade will kill it instantly. Search her body, and you'll find Sveenja in pieces, and her Frostwyrm Bow, with a 15 pt frost damage enchantment. A nice reward.
Greenmead Cave is a cave on the Gold Road east of Skingrad, on the way to the Imperial City. It is in the middle of the road on the map. You can't miss it. The Cave is a critter lair, with rats, Minotars, Ogres, and Spriggans. Really good loot, too. But that isn't why we're here. We are here for what is guarding the boss chest in the third level. It's a giant..... Mudcrab.
The crab has the same hp as a regular crab, so it will die very easily. It does come back, so just whack it whenever you want.
The Wizard's Grotto is a Conjurer Lair that leads to Fathis Aren's Tower (previosly known as the Temple of the Emperor Zero). It can be accessed through a secret door in Fathis Aren's room in Castle Bravil, or through his tower. This is part of a Thieve's Guild Quest for the Gray Fox.
It's not Fathis, or the Conjurer's we are looking for, it's the giant Slaughterfish in a the pool that seems to go down. If you go down there, make sure you're prepared. This fight could take a while, and if it doesn't kill you, drowning might. So bring a Water Breathing Spell or helmet. Search it's body, you'll find a whole set of Chainmail armor and 12 portions of scales. You don't need to go through the Grotto to leave, nearby you will find a leveled locked door that leads to the open waters of the Niben Bay.
Lost Boy Cavern
On the surface, this seems like a normal Necromancer lair. Look outside the Entrance, you find a journal of a mage trying to save his friend from becoming a Lich. (Necromancers sometimes do this to attain immortality) In the cave, you'll find some documents of his story. In the back, you'll find the Lich if you're level 23 or higher. It seems the two mages souls have fused together to create this monster. Kill it, and take the staff and Blunt weapon on it's body. If you're only level 22 or below, you'll find an unkillable ghost.
You don't have to go far for this one, espically if you live in Rosethorn Hall in Skingrad. In fact, this house is located across the street.You should prepare for some fights, though. You see, this house is haunted. Truly. Inside, after a very hard level lock, you'll find numerous leveled Undead. There is no reward, but it is interesting if you want to check it out.
In the West Weald, near the Elswyer Border, is an isolated house. If you want to get there, fast travel from the Priory of the Nine (if you completed the Knights of the Nine quest line) and head east, or Neyond Twyll and head south. When you get there, you'll find out it isn't so isolated. Inside, there are two bandits. Nothing special, but it doesn't register as a location on the map.
The Temple of the One: Endgame
You should complete the Main Quest at some point (you don't want to do it too fast, you should get some Transcendent Sigil Stones first!), you can then visit the Dragon Statue to get a blessing. But it is also a very powerful one, which boosts your Personality and Luck by 25 points each. The blessing also lasts a long time. The extra personality will help people like you, and the added luck will help you find better loot and lower the magicka cost of spells.
Gottlesfont Priory is a chapel just southeast of Molag Bal's Shrine. Inside, you'll find a normal wilderness chapel, and next to that, you'll find a house where the caretaker's of the Priory live. They are healers, and will gives you some tips for making healing potions. They also invite you to take whatever ingredients you want. The most common one is Lady's Mantle Leaves, which has Feather, Restore Health, and Night-Eye effects.
Burned-down Alchemy Shop
This shop is somewhat of an Easter Egg, and a pleasure to visit. Located south of Wellspring Cave and Fort Magia, there is the remains of Alchemy Shop. It appears to have been burned down, and inside you will find Potions of Insulation, which have a Resist Fire Effect. Look at the sign and you'll see it's still intact, and reads "All Things Alchemical". If it sounds familiary, it's because that's the name of the Alchemy shop in Skingrad.
The owner is a Dark Elf named Falanu Hlaalu, and she says that she came to Cyrodil from Morrowind. To make it even more strange, she asks you what the fine for Necrophilia is in Cyrodil. (Necrophilia is having a sexual attraction to corpses.) You get three different responses to this question, the last one being "Is it the first offense?" Her response is "Let's assume 'No'." You tell her that the fine is 500 gold, and she exclaims that's nothing compared to Morrowind. Very strange, indeed...