Firstly, make sure you have the latest Oblivion and Shivering Isles (if applicable) patches installed, and also the Unofficial Patches, found here. These are a must-have.
Click the images for a larger view. And by the way, I am not responsible if you break your game and mess with your Oblivion system files. Always install mods with care, and follow the included readme files to the letter.
1. Elven Map Redux - Changes the World Map and icons to an amazing work of art. Much more aesthetically pleasing, and simply gorgeous.
2. Alternate Start Revamped - Bored of having to play through the tutorial every time you start a new game? Wish you could pick a new way to start the game, rather than the life of a prisoner? Well this gives you the choice of 9 ways to begin the game, from a lowly beggar to a wealthy Skingrad resident. Essential.
3. BTmod - Makes the user interface for the inventory much better. Essential.
4. Immersive Interface - Changes the appearence of the HUD. Use this mod with the one above.
5. Dude, where's my horse? - Oblivion usually does a nice job of putting your horse in a city stable when you fast travel there, but sometimes this simply doesn't happen. Other times you may just lose it, or it wanders off never to return. This mod adds a continual quest that places a marker on the location of your horse. Handy.
6. Armamentarium Complete - Adds a multitude of new weapons and armour to the game, and adds new skins to the existing weaponry and armour, making for a much more varied array of gear to collect. Examples include Black Leather Armour, Gold Mithril, Katanas and Staffs.
7. Quiet Feet Max - Each time a person/creature walks the game plays a sound for their footsteps, and using this mod will eliminate that all together, greatly increasing performance, especially if you suffer from game stuttering during combat. Compatible with the horse armour plugin.
8. Unique Landscapes Project - Created by people who wanted to add much more depth and beauty to the world of Oblivion, these are by far the most amazing mods you can get for adding new content to the world of Cyrodiil. From lush forests, high mountain gorges, to beaches themselves, every conceivable place has been designed and created for you to enjoy. Other world changing mods may require patches if used with these.
9. Here is simply a list of amazing quest mods that add dozens of hours to gameplay, ranging from new Guilds, quests for lost artifacts, entire Islands, and more. All were created with the highest quality and care. Some may have compatibility issues with other mods. Ensure you check the readme files, and do a little Googling.
I hope you enjoy these mods as much as I do. Be sure to thank whoever created them. They are the reason we will keep playing Oblivion, until the Elder Scrolls V is released.