The dirty secret in late TES games is to AVOID the skills you will actually want to use. By avoid, I mean do not tag them as class skills, counting towards your advancement.
ALWAYS have a Misc skill that uses your main Attributes. Alchemy is a great Misc skill for Mages, since you can control how much you level it up very precisely. Armorer is great for Strength characters, for the same reason. Why that? To get a good Attribute multiplier whenever you decide to level up. Intelligence is specially crucial for Mages, so keep this in mind.
This is the only thing I'd say to anyone playing Oblivion in consoles. It may sound counter intuitive (and it is), but after playing a while, you'll know exactly what I'm talking about.
And, try goofball builds. Those are probably the one that will amuse you the most.
Finally, I agree with the opinion of some fellow posters: Play the game thoroughly once, and then think about modding (PC only, of course). Don't be afraid to restart the game. Since you can do whatever you want, the playability from the very beginning is quite high. Doing the main quest at around level 20 is much more interesting that killing Stunted Scamps at Kvatch, IMO =P
Enjoy!