Verified answer

There are many different things you can do in Oblivion; just explore the towns and talk to people and you'll find side quests. The other main quests are...

Dark Brotherhood: Started by killing someone in cold blood; you can also take the arena challenge and complete the grey prince's quest and then kill him in the arena if you are scared the person you're killing will ruin a future quest. You run around and assassinate people and such.

Arena challenge: Started by visiting the arena in the arena district of the Imperial City. Just basically go crazy and kill people; always fun.

Thieves Guild: Start by overhearing people talk about the grey fox in the Imperial City. Once you have the topic to talk about freely, befriend a beggar and S/He'll give you directions on what to do next. These quests are fun if you love sneaking around and such.

Mages Guild: These quests are started by visiting any of the mages guilds in any of the towns except Kvatch. Enter the cities mages guild and talk to anyone in there to learn how to join and start the quests. Fun if you like to fight people who cast magics and if you want to come across some magical items.

Fighters guild: Started by visiting the fighters guild in Anvil, Cheydinal, or Chorrol and join the fighters guild. These quests involve killing people and doing odd jobs for people.

Knighs of the nine: Started by visiting the prophet in Anvil. This quest is pretty cool if you like going around and finding things, on top of killing an evil spirit dude thing.

If you have the game of the year edition you can get the Shivering Isles Quests, which is started by overhearing someone talk about it and finding the doorway in niben bay. I must say these quests are my favourite. I love all the activities you can do there.

I might have forgotten a few, but hope these help =]

i was lost my first time too, just keep in mind that you can fast travel anywhere by using your map and imo go to anvil that was my first city and the most fun. There you just talk to people and youll find quests and such and theres a very prominent mage and fighters guild there