Foreign Jackass said:
Well the fighting itself isn't that great, so underwater makes it all the more painful. I'm a scout. I dunno if I picked the bad class or something, didn't read anything before going in. Should I push the main quest forward at first, or should I stay in Imperial City and "clear the place"? I dunno, I feel a little lost. I felt that way with Morrowind and didn't play that long because of it, but Oblivion is so purrrty.
You can approach it either way. Because the creatures you'll face along the way will scale to your level, you're going to face a similar challenge no matter which level you'll be doing the quests at. At least in theory.
The game can be very overwhelming at first. After you exit the prison, and step out into the world, you sometimes get a feeling of "what next?". Especially at first, where I think you need a little direction.
Generally, I recommend going to a nearby dungeon at first just to explore, and get use to the game mechanics. The combat does take some getting use to, but there is more number crunching and statistics being examined than in something like Zelda. Your skill levels with your weapon of choice, your stats, and your overall level all come into play, so I think it's important to get an understand about how the combat and other items work in the game. For instance, learning to pick locks goes a long way, as does learning to sneak. Work those out ahead of time in a non-quest related dungeon. You'll also gain some experience, gold and possibly better items as well.
From there, I usuall recommend starting off on the main quest. That will give you a feel for navigating around in the world. Using the map pointers to get you in the right direction, maybe even fast traveling. Interacting with the main characters, and get you interested in the story. It also serves to give you some direction while you get more familiar with the game.
After that, I'd say branch out on some side quests. There are dozens and dozens of them in the game, and many of them are very good. Some are fairly simple and boring, but there are plenty that are deep, involved, and creative. The more comfortable you get, the more you'll start to explore on your own, and you'll be suprised at the things you want to do.
Also, once you start off on the path of the character type you want to play, you'll probably want to do some of the guild quests. If you're heavy into using magic, I'd highly recommend doing the Mage Guild quests early on. You'll get all kinds of new spells and gain entrance into the Arcane University which will help you with creating your own spells and magical items down the road. The Fighter's guild proved less useful over the long run, but still builds your skill levels, and gets you some cash and contacts. Personally, I'd save the Thieves Guild quests for when you are a little more comfortable and experienced in the game. And definitely save the Dark Brotherhood Quests for the last of the Guild lines. It's amazing.