Don't cheat! I know it sounds simple, but it's so easy to hit ~ player.advlevel... I know it sucks to be at a lower level and the level-based drops don't help all that much, but in the long run you'll have more fun and more play time leveling legit. Use a companion. I know it's been mentioned before but they make things much more interesting, and the hard parts a little bit easier instead of turning down the difficulty. Always carry potions, you don't know when you'll need them, and the one time you decide not to pick some up is precisely when you'll need them. Take your time. Explore the game, side quests, do everything you can. Rushing to the end of the main storyline is fun the first time, but Oblivion is all about replay ability. Have fun. Getting bored? Add a mod, do new quests, create a mod! Take some time away from the game. It will be there when you get back, I promise.