Funny, I did that even when playing vanilla game. I know most hardcore fans hated Oblivion, but I really enjoyed it, even without mods. And I do think that the vanilla game is loads of fun for someone who never played any other RPG game. I actually do know a bunch of people who greatly enjoyed Oblivion, all of them pretty casual gamers. They hated Morrowind: Too hardcore. The entire game is catered for people who never played any RPG game and I think it wouldn't be a good idea to change it for a person who ... Well ... never played any RPG game

I have a few forum topics that I keep as favorites for when I'll finally play Oblivion, which should answer most of your questions regarding modding:

http://www.gog.com/en/forum/general/oblivion_modding_help_for_new_modder
http://www.gog.com/en/forum/general/any_experienced_helpful_oblivion_modders_out_there
http://www.gog.com/en/forum/general/the_elder_scrolls_oblivion_what_mods_do_i_need

Just do whatever you enjoy most, and if you want to get on with the main story, follow the quest that you got when you ended the tutorial ("Deliver the Amulet"). You can select this quest in your quest log. It then becomes your active quest, and a green marker on the map (and on your compass) will show you where you need to go.

The red markers are enemies, following those doesn't necessarily lead you anywhere else than into a fight. For the quests, you follow the green marker.

Actually, one thing that most fans of earlier Elder Scrolls games found so disappointing, was the way how the game holds your hand, tells you exactly where you need to go, and flings the main quest into your face unless you consciously ignore it. But the hand-holding does make the game more accessible for people who aren't used to sandbox RPGs, so I agree with Fenixp, it's made for newcomers to sandbox RPGs.

Check your map. I don't think that you are too far from Imperial City, so just return there and there's plenty of people to talk to.

Exploration can be a big part only if you make it, but the game makes it so there is no need. All gear is levelled so you will very rarely find legendary items. Most of these are obtained through the daedra quests and people from the town will tell you where almost all of their shrines are. Fast travel between towns makes it so you will rarely have to travel far and quest markers mean you never have to scour the country side for an objective.

Edit: Also vanilla Oblivion had some stability issues, so you really had to quicksave regularly. When your exploring there are few places where it autosaves and this can be very frustrating.

Ok, that explains a lot, I guess I must have mis-read it when it told me the first time. I've been following the red dots, and just end up getting attacked by stuff and never find the thing I'm supposed to for the quest. For some reason I never noticed the green dot before, but sure enough, it's there :P

So in answer to the original point, yes, it's for noobs and people who can't follow simple instructions *blushes*

I enjoyed vanilla Oblivion too but I am more a Morrowind type of guy. So understand this is coming from a very subjective point of view :P

Yeah, I enjoyed Morrowind far more as well. Wandering around Vvardenfell is always fun and I often return to it. I'm just saying that for a modern RPG newbie, Oblivion's approach is probably better.

It's a sandbox RPG, so there's a lot of room for exploration. However, since almost the whole world is tailored to your character's level, exploration is often pointless. Raiding the same dungeon twenty times in a row will usually get you the same stuff as raiding twenty different dungeons. You may of course find more side quests by exploring around.

Oblivions predecessor, Morrowind, gave actual rewards for exploration (and Skyrim does too), Oblivion isn't terribly well designed in this regard.

So I just did a bit of digging and found a few links for you.
This one is absolutely essential and corrects many mistakes that the devs either forgot to correct or overlooked.
http://tes.nexusmods.com/downloads/file.php?id=5296

This link is probably your best bet for getting a good, huge, mods that adds a lot more depth to the game, FCOM. Psyringe recommended this first and here is the link for it. EDIT: Note the requirements section of this site, you must have these installed and I wouldn't fault you for choosing one of those and calling it.
http://devnull.sweetdanger.net/convergence.html

If you find FCOM too complex then here is Obscuro's Oblivion Overhaul. OOO is more streamlined but still changes a huge amount of stuff. Fenixp first recommended it and here is the link.
http://www.oscurogamedesign.com/oscurosoblivionoverhaul-down-high.html

Here is the link to the Elder Scrolls wiki site which has some lists for people looking to mod. You should look through it as there are far too many for me to list and recommend and some of them are included in FCOM. But be warned that the more mods you install the more problems you will have with compatibly and that's why I would really only recommend FCOM or OOO. If you are confident with your modding skills though then by all means, go nuts.
[url=http://www.uesp.net/wiki/User:Wrye/A%27s_List_of_Recommended_Mods]http://www.uesp.net/wiki/User:Wrye/A%27s_List_of_Recommended_Mods[/url]

My list of mods from memory:
- The unofficial patches, to fix all sorts of minor bugs and glitches in the world.
- A UI upgrade. The original interface feels designed for consoles - big text, therefore only a little on the screen at a time. Smaller text lets me take advantage of the higher-resolution on monitors.
- Francesco's mods. Vanilla Oblivion is silly, in that every encounter scales to your level. This is convenient at low levels, but ridiculous at high levels - random bandits with epic magic armor and weapons, seriously? To me, part of any RPG is having a variety in encounters, from 'swatting flies' to 'flee, you fools!' Francesco's mod (like Oscuro's, but not as harsh) balances things out some by, among other things, adding level caps and floors for monsters. Nothing like returning to an area that you barely escaped from several levels later and crushing the inhabitants that had threatened you earlier.
- Quest reward leveler. Yeah, some people complain about it, because it makes the game too easy; I see it as not punishing the player for not knowing when to do each quest for the best reward.
- Leveling mod. My biggest gripe with Oblivion is that it's too easy to underlevel your stats, if you don't know what you're doing. You didn't increase enough minor skills between levels? Fewer stat gains for you! This translates to a giant pain when everything else around you is scaled to your level (but not your stats). The mod I use increases your stats when you gain X ranks in skills that use that stat. It makes stat gains feel Nethack-ish/FF2-ish - you improve stats as you exercise them.
- Unique Landscapes Compilation. It makes the whole world feel less 'clone-tooled', and more like a real environment.

As for the clunkiness, I can't really help with that.

Wow... I go away for 18 hrs and look what happens! :P

Ok... I think I will wait till my gaming rig is up and running again before I install any major mods (like FCOM), but I just installed OBMM, but how do I install that Oldblivion one?

I recommand you first start with only the Unofficial Patches for bug fix, and things like mod manager and save manager. Then start playing the game as it is . After a while you shall have a lot of ideas about which part you like and which part you don't, then use some minor mods to tweak it. There's should be a lot of content in the main game, and a lot of funny extra stuff to keep you busy for a while. When you feel there are no longer enough new stuff in the game and you want more, uninstall the whole game and make a clean installation for some major content mods like MMM, OOO.
(Better not dive right into something like FCOM, it can be quite unstable so if you don't handle it correctly, that can frustrate you a lot.)

How can I get Oldblivion to work? (anything to get the framerate up) I downloaded, it said simply run the Oldblivion exe and it would work, but I have not noticed any difference at all...