I just finished the 1st part of the main quest, well there are lots of little parts, but I just closed an oblivion gate. I've got some daedra hearts and shit!
Oblivion is much easier than Morrowind, which makes it nice in the beginning but I've figured out the controls so now enemies that should kick my ass a little die way to easy. There are things I like about Oblivion more, like how the compass and map work to let you know where you should go in whichever quest you choose to do at the time. Alchemy seems a lot easier.