I played Oblivion for ages and ages, but honestly, I never finished the campaign. I mean, Blegh, and I kept spazzing out about protecting friendlies who, just when their characters were being developed, would be made vulnerable.
So I bugged out and got a ton of mods. I became everything from a lich-lord to the most musclebound of meatshields. I fought creatures beyond anything in the original beastuary. But in all that time of play, I never finished the story. I always got into the mage's guild, but held off on finishing the all quests because I wanted to get higher-level free gear (I really just wanted to get to make my own spells, which I tended to name silly things like Lesser Bitchslap for a full-damage-spectrum-touch-spell). I went through the entirety of the Thieves guild quests, because they were moderately better made than the others (save the last bit which I mostly just ran though without attempting stealth or combat because there were just too bloody many of them and if one saw you, they all knew where you were and never lost track of you. Seriously, Fallout 3 has a much improved version of this system, and I hope they incorporate something similar in TES V whenever they get around to making it).
I used spend afternoons roving the countryside, hunting for rare alchemy ingredients. I had three bandit hideouts I rotated through, and the first would have repopulated by the time I finished looting the third, so I had a nice little system going for leveling and gear collection. On the whole, the melee combat was boring, and combat in general got predictable after awhile, but I kept finding new things to do, or extra sidequests to play, or a new mod to add on, so it was a quite enjoyable experience. I just never bothered to go past the mainstory mission where you're supposed to infiltrate some cave somewhere.
But to get to the point, you shouldn't consider finishing the main story as finishing the game, this is better played as an open world where you do what you please for as long as you can, and from what I've played and what I've read, the main story isn't that great anyway.