Oblivion lets you do what you want to do and live your own fantasy life.
The world of Cyrodill is huge and you can do basically limitless things. You basically live a second life, which in you can be an honorable knight and save the world, an all powerful mage on a quest for the ultimate spell, or a thief whos only goal is to steal from or assassinate others. As far as these limits will let you stretch is endless and thats why they give you a little bit of guidance with a main quest, which basically puts you in a role of a lowly prisoner who soon is to become the Champion of Cyrodill. But hey, if thats not your type just go off and join the guilds, or search for an ancient artifact or maybe, brew a potion.
To go with this great game, comes amazing gameplay. You can either play in first person (zoomed-in fist and weapon view) or third person (full view of character). You can play total action, as in running up and slaughtering goblins and the like. On the other hand you can play a stealthy rogue, maybe kill somone in their sleep or steal their most prized possesions.
The game starts fairly fast. You awake in a prison cell after designing you character, which a tedious, yet fun design system. After the dark elf across the hall in another cell is done taunting you, the emperor is trying to escape through your cell which is not supposed to be occupied. But, he notices you from his dreams and demands you come along, you get ambushed and Renault (a guard) is killed. Later on you are split up from the group to fight rats and goblins, then you meet up again and are asked to pick a birthsign, which just adds minimal boosts. Then you are burdened with protecting the emperor while the other guards go to fight assassins. Needless to say, he dies. You now get your class, when you tell the guard about the Amulet of Kings that the Emperor gave you.
The classes vary from mage, to warrior and to theif. They are mostly just different variations and mixes of them. But they should suit mostly everyones needs and choices. Also, as a tip the guard will try to guess what class you were before you were in jail, this is simply what the game thinks you should be deterimened on wether you killed every monster or avoided them. You can even make your own class, which you can choose the specialization, the attributes and the main skills.
After your about to leave the game will ask you if you want to redo anything, like your race, birthsign or class.
When you create your character you can choose from many different races, all geared towards some certain class like Breton to mages or Nord to barbarian. You can change your nose, eyebrows, lips and even more. However, the hair choices are very limited and pretty lame. After you choose your name. If you indescisive you can just press random and it will jumble up the face and come out with something new, they all look pretty decent but i'm warning you its very hard to make a good looking character.
Then you go out and you should be as I was blown away. Right away you see a beautiful river, the endless sky and the amazing lushious forest. You cross the river and encounter bandits, you can easily despose of them. Sometimes a guard will be traveling by, and you can kill him if you'd really like. Do whatever you want! I can't explain much more, just go play it for yourself.