I'm still playing a good bit of Oblivion. There's just so much content that even after completing the game at level 19 with my first character some 120 gameplay hours in, I'm still having fun and finding new things. My first character was such a good guy, and now I can replay it with a magic-focused high elf and hit all those bits I missed the first time through: The Arena, The Thieves' Guild, The Dark Brotherhood, and maybe even vampirehood.
I've also started playing with user mods, and I've found some great ones. Firstly, after having installed "BTMOD", I can't imagine playing the game without it. Firstly, it lowers the font sizes on most menus so that you can see more than five lines at a time. Secondly, it makes all sorts of little tweaks to the UI - adds on-screen meters for weapon durability and spell duration. I can't even remember what the game was like without it. It's a must-have. (download link)
There's a Darker Dungeons mod out there too which I'm using. It does just what it says - makes the dungeons a lot darker, thus encouraging the use of torches, light spells, or nighteye.
I've also found some really nice downloadable music to replace the default music in the game. It really freshens up the experience when you've got something new to listen to.
Lastly, Oscuro's Oblivion Overhaul. It really is an overhaul, and I've been having a ton of fun with it after having started my second character. The most noticable difference is in the game difficulty. The level scaling that Oblivion uses by default has you always encountering enemies that are geared towards your level. With this overhaul, you'll find weak enemies even when you're high level, and occasionally encounter high level enemies even when you're low level. Since I nearly never found a foe that I actually had to run from on my first playthrough, I'm loving this. For example, my level 5 character wandered far off the trail last night and got mauled by a mountain lion. It was great.
The Oscuro Mod also tweaks NPC AI. I was startled when at level 1 I killed a band of about 5 bandits and the last one standing ran away. I gave chase but couldn't catch him! Not much later, when I was level 4, I found a female orc bandit near a fort. She wasn't overly tough, and I nearly killed her before turned and ran. I chased her into the fort, where she met up with a male orc bandit, then the two came after me. The male bandit was way tougher than she was, and I couldn't even hurt him. This time I had to run away. I ran until I found a guard on horseback on a trail. The guard dismounted and engaged the orc while I fought and killed the female. Then I stood back and watched the guard fight the orc. Damn, but that was one badass orc - the guard ran away before long, and I stood back on a high bridge and watched the orc chase the guard around for a while until I couldn't see them anymore. That was one damn cool experience.
The Oscuro mod also has an option to slow down the rate at which certain skills level up, which I enabled last night after shooting up to level five in no time. I can always stop using the level-slowing option later on if I want.
There are plenty of lists out there of favorite and best mods, I'll probably continue to peruse them and maybe I'll find some more good ones.