I've played through Oblivion twice (both times on the console and on normal, so no mods) and completed the Shivering Isles expansion.
I discovered that
One: Archery was the most worthless skill in the world,
Two: that offense based magic was also completely worthless,
Three: The only way to succeed in the game was to have either an overpowered tank, or an overpowered stealthy ninja tank. I managed to get the former to level 38 (before running out of pretty much EVERY non collect all this crap quest-before the expansion material came out) and the latter to level 50.
As far as the stories went, I felt that the main quest line failed in comparison to the guild quest lines, particularly that of the Thieves and Dark Brotherhood. On my final play through (with the overpowered stealthy ninja tank) I discovered the most enjoyable thing about the game was on the Shivering Isles when you get to fight the clone of yourself. I did not discard any of my items before entering that room, and the fight took me seven minutes to beat. Both my characters were also alchemist for the main reason of making lots of money very quickly.
I personally find Fallout 3 to be a more immersive game with far superior story telling (don't get me started on how much better the voice acting is), and dare I say it a better game. Keep in mind this is after spending hundreds of hours on Oblivion which was also my first 360 game.