Make sure you grab the +5 multipliers every time you level, or at least +3 or +4, read the manual or a wiki site if you don't know what that is.. If you don't then the game will get very difficult as you level because of the enemy scaling. Don't lower the difficulty though, the game becomes way to easy and boring if you do.. if your on the PC and don't want to bother with the leveling shit then I suggest the mod 'Oblivion XP' because it will make your life a whole lot easier without having to resort to dropping the difficulty.
Also even if you a mage, leveling Heavy Armour is always useful, if your getting beat down on you can always equip it, use a Speed attribute boosting spell and tail it haha.
Lastly, DO NOT grind one easy to level skill like Alchemy or Conjuration to fly through the levels because you run the risk of gimping your character later on, make sure you grab those multipliers!