go browse to UESP wiki oblivion, tons of info
but biggest tip I can give you: level wisely.
For every 10 skills you level(destruction, blade...), you can get +5 bonus to an attribute (strength, willpower...) as a choice at the level screen. Remember, try to level your secundairy skills first, as it makes you level up (your overall level) slower, but igetting you better attributes. Once you gain a "total level", you can choose 3 attributes to increase. If you level 10 skills concerning intelligence, 10 skills concerning strenght and 10 skills concerning willpower, you can choose to increase those 3 attributes, each by 5.
Ok, this is a crappy explanation, here, read it:
http://www.uesp.net/wiki/Oblivion