Is this another thread where I get to rave about Nehrim? Hell yes!
Anyway, if you play Oblivion and find it lacking, or if you want something different from it, or if you just want to play a really good RPG, then I cannot recommend Nehrim enough. It's a total conversion mod for Oblivion, that is, in my opinion, far better than Oblivion itself. It's got a good story, good characters, awesome quests, and some of the best environments I've seen in any RPG. I would definitely recommend playing vanilla Oblivion first, but afterwards, definitely give Nehrim a shot.