You can be Anything I've Already Decided you can be
In Oblivion you start out as an apparently blank slate. The game does a great job of gently easing you into your character as your own choices and actions define who you are. Which is the whole problem. Because in fact your choices are not open ended. Every choice the designers and content creators make has hidden assumptions about who your character is and can be. Maybe this only matters to someone whose top concern is storyline, but it does matter.
In Oblivion, there are many, but finite, paths you can follow. For starters, you can base your character around magic, stealth, or combat. You can choose to pursue fame or infamy, effectively doubling the styles of play. There are also several important quests that provide branching storylines around the various factions in the game. If your style of play falls nicely into one of these niches, you're set. If it doesn't, you'll either not have as much fun, or you'll have to change.
Compare this to a game like thief or Jedi Knight: Outcast. These games are much more linear, but they also give you an up front characterization to work from. You know just who you are. This gives you a focused, though limited, scope of gameplay. In Oblivion, you have to try to guess who you can be, or assembly a characterization from from clues provided through dialog with other characters.
For example, Oblivion lets you choose which quests to undertake, but there doesn't seem to be much choice in how you undertake them. As an assassin, I don't want to confront the grave robber and try to convince him to change his ways, yet if I just kill him (instead of letting him make a little speech, and then killing him, it breaks the quest; a minor, yet annoying point.
My thought is, what if the game used something like flags in Shadow of Yesterday? Imagine a game where I could choose how I get rewarded. As an assassin, I might get rewarded for killing. A hero might get it for helping others. Someone else might get rewarded for accumulating cash. By choosing how to be rewarded you tell the game what kind of gameplay you want. This changes the relationship between player and content designer. With flags, you essentially tell the content designer what flavor of play you want. The designer, instead of trying to clue you in to how to think about your character, provides you with a set of flags that correspond to the kinds of gameplay they are offering. This has the potential to demystify the relationship between the content designer and the player.
I've restarted Oblivion with a slightly modified character who fits better with the game and the world, and now I'm having a great time. For the record, they have done something really great with this game, and it is well worth playing. I recommend starting out with a throwaway character, playing a few levels, then settling on a new character.