Love it, but the sandbox nature is very love/hate.
I’d recommend buying the expansions along with your starting kit, if you can, to get the fullest enjoyment out of it but the most important thing is to set up a personalized cadre of mods to work out a lot of the flaws the game has.
And I do mean a few of them are nearly vital. The one that gives monsters fixed levels, for instance; in the default version of the game, monsters progress as you do, which means you’ll be at around the same level. While this is fine for a junior player who doesn’t want to be challenged to any noteworthy degree, it gets really annoying after a while. For instance, at level 30, you’ll face goblins only slightly weaker than you, and you’ll only “unlock” monsters to really break your teeth on (i.e. minotaurs) when you’re already at a level to beat them with relative ease. The mod creates a more natural enviroment, where there are places where you’ll actually be outclassed, like there would be in a proper setting.
It also has the backhanded benefit of giving you properly god-like abilities at higher levels, meaning a simple goblin cave in the hills will be the slaughter it should be. And that beating a stronger monster actually gives you a sense of accomplishment.
And then there are the “last 1% of enjoyment” mods, that takes great features and make them outstanding. The texture mods come to mind, like better bodies, realistic face expressions, better terrain texture, proper distance view, et cetera. If you want the very last 1%, check out www.tweakguides.com’s guide to enchancing Oblivion. Lots and lots of performance boosts and nifty optimizations there.
It’s an excellent game and I envy you your first-time visit to Tamriel, if only the chance to act opposite Sean Bean’s Martin. Enjoy!
(Shameless plug; If the fact that your horse is a glorified speed enchancement, not the war-tool a proper warhorse would be, bothers you, go check out Mount&Blade. It’s got a free trial for the first 6 levels, then you can buy a key for like $20, which gives you access to the rest of the beta and the full game when it comes out and the boatload of mods made by the very devoted fanbase. Fair warning, though, it’s not a story-driven game, but the action is probably the best in a fantasy game, evar.)