After you finish the main quest line or any time really you should download a mod called The Lost Spires. The Lost Spires - Home
this is a mod created by a community member and it is fully voice acted and is as good as anything from the developer, Bethesda. Also another really great mod is the Sentient Weapon. The Sentient Weapon 1.0 Download, The Elder Scrolls 4 Modifications
this mod gets you a talking sword with up to three personalities in the weapon and from time to time they will switch personalities. Also each personality in the sword has a personal quest that you can get and that will give the sword more powers.
There are also a ton of mods that add things like lights in the windows of all cities and things like cloaks, capes, gloves and other clothing items. Clothing in Oblivion can be enchanted and can then be used as armor. For instance if you wait until you are level 17 you start to get the most powerful Sigil Stones when you close an Oblivion gate, the Trancendent ones. http://www.uesp.net/wiki/Oblivion:Sigil_Stone
Also if you save just before your PC grabs the Sigil Stone and then you don't get the stone you want you can reload grab it again and get a different result. Stones like Frost Shield, Shock Shield, etc actually add amor points to the clothing so it is possible with a full set of clothing to have the max armor with just clothing, making it so you don't get over weight. Also if you go just outside of the Imperial City you will find a merchant who sells things a Thief would want, and his name is Shady Sam. What I do is I go and kill Shady Sam and take his clothing and enchant it because he has an all black outfit. You can find Shady Sam here: http://www.uesp.net/wiki/Oblivion:Shady_Sam