It's interesting that out of an arbitrary set of three people playing Oblivion, myself and two others, we each decided to start the game in a different way. I headed off into the wilderness and have been exploring ruins and only showing up in towns to sell my goods, one friend of mine headed to the towns to join the Mages' Guild and advance in their ranks, and another friend went directly to the capitol city to start questing there, and is the only one of us to have put any effort into the main quest line. It's awesome that there's so much freedom in the game, and that's what I love about the series.
I was worried that Oblivion would not run with acceptable performance on my aging PC, but it seems to be okay. The framerate isn't great, but it's not bad, and there's not much in the way of loading times, compared to the 360, where they are apparently quite prevalent.