I'm a little late to Oblivion, but better late than never eh? This game is absolutely amazing in my opinion, and the opinion of MANY others. The gameplay itself is fun, and I personally have at least 60 hours of gameplay invested and it's still fun and going strong. I actually rushed through quite a bit too. I'm going to say a couple tricks that I learned on this page. Use them, or don't. Your choice. Most of these will only work with an un-patched version of the game, meaning you'll have to go into your memory tab and clear your HDD cache. If you need help with that email me or comment and I'll personally help you out. Anyway, on to the tricks.
Duplicating: First I'll walk you through how to duplicate any item that you can drop. It's quite simple. All you do is have some arrows on your person (I'd say around 50 will be enough. I'd reccomend not having more than 150 as it can slow down the game quite a bit) and the item you want to duplicate. Swing your weapon (or fists) and quickly hit the B button (on Xbox 360 version) to go into your inventory, then go to the weapons tab and equip/un-equip your arrows 4 times (a message will appear in the top right corner of the screen each time) then go straight to what you want to duplicate and drop it. The game then drops multiple of the item you dropped (the amount dropped is the same as the amount of arrows used to do the trick). You then proceed to pick them up and do whatever you please with them. This is a great way to make money or to just keep plenty of soul gems or potions on hand. It doesn't work with quest items however due to the fact that they can't be dropped.
Permanent zero-weight armor: This trick is a little more complicated because there are more requirements, but still simple. All you do is get a bound armor or weapon spell of your choice (I personally used the mages guild spell making altar in order to personalize everything, email/comment for help) then cast it, then follow up with repeatedly using a disentigrate armor/weapon spell on self in order to weaken the armor or weapon to the point where you can use a hammer to repair it. Repair the damaged equipment then drop it, all before the spell's timer goes out. Leave the equipment on the ground until the timer runs out, then you can pick it back up. It won't disappear and wont weigh anything. It's considered heavy armor however, so it will lower spell effectiveness unless you are high ranked with heavy armor.
Floating Paint Brushes: This trick isn't all that useful (to me anyway) but it's a trick none-the-less. This is VERY simple. Just go find a paintbrush (or multiples) (the duplicating trick comes in handy here) and then just try to drop one. Instead of dropping to the floor, they stay afloat wherever you were looking. Useful for climbing, or blocking of people from going somewhere.
100% Chameleon: This trick comes in very handy, although many consider it extreme cheating and it can lower the "fun" factor of the game. But this part isn't exploiting some glitch or anything, it simply consists of enchanting enough pieces of clothing with chameleon enchantments. I personally have my 5 Permanently bound pieces of zero-weight armor all enchanted with 20% chameleon from grand soul gems. This has the same effect as invisibility, except unlike invisibility, 100% chameleon allows you to do anything and it doesnt interrupt you being un-seen. With invisibility, anything you pick up, any action you do, any swinging of weapons or casting of spells, knocks the invisibility off causing you to have to either re-cast or re-drink your potion that made you invisible. But 100% chameleon means you can essentially run through the entire game without ever fighting or being caught sneaking or anything. Unless an NPC is scripted to talk to you, you WILL NOT be seen. You can have a bounty of thousands, and kill right in front a guard (or kill a guard for that matter) and unless you strike up a conversation with them, they won't try to arrest you because they don't know where you are. Many times you won't even recieve a bounty. It makes Dark Brotherhood missions a piece of cake though.
Reverse Pickpocket Assassination: Only zero-weight items can be reverse pick pocketed. These include, but are not limited to, mages hoods, perma-bound items, poisoned apples. If you go enchant a mage hood or perma-bound item with a "damage health" or "fire/frost/shock damage" enchantment, then whoever wears the item will take damage from it until they die (or go un-consious) (the fire/frost/shock spells give a nice visual effect for amusement while they die). Mages hoods work great for this as many NPCs don't have head-gear. And just in case, putting a string of "a"s in front of the name "i.e. aaa Hood of Death" will put it at the front of their inventory, causing them to be likely to put that hood on even if they DO have another head-item. They'll put it on when they sit or sleep, so waiting will make them die quicker. Poisoned apples work kind of the same way, you reverse pick pocket the apple into their inventory, making sure to remove any other food they have access to (including on their table, in cabinets, etc.). Then they hopefully get hungry and eat your apple causing them to instantaneously die. The apple by-passes any "resist-poison" they have too.
Well, those are some of the better tricks I know of. I hope these come in handy for anyone who reads this. If you don't have Oblivion yet, I'd DEFINENTLY reccomend getting it. You can find it for pretty cheap in my amazon store (found on the right side of my blog page).