Alright. You said that as of right now you're a Dark Elf warrior wearing heavy armor right? The game would tell you that you should make your major skills all the melee skills (Blade, Blunt, Hand to Hand), Heavy Armor, Armorer, Block, and maybe Restoration. You could do this but all it will do is level you up very quickly with little to no progress in skill improvement.
Level progression in Oblivion is more difficult to work with than it is in Skyrim because in Oblivion you have to basically plan how you increase your stats. Each skill represents one of seven stats in the game (Luck is a complete stat on its own.)
Strength (Blade, Blunt, Hand to Hand)
Intelligence (Alchemy, Conjuration, Mysticism)
Willpower (Restoration, Alteration, Destruction)
Agility (Marksman, Security, Sneak)
Speed (Athletics, Acrobatics, Light Armor)
Endurance (Armorer, Heavy Armor, Block)
Personality (Mercantile, Speechcraft, Illusion)
The first thing that you want to do is figure out what type of character you want to play as. This is important as unlike Skyrim, once you decide what type of character you want to be it will be very difficult to change your playstyle. You can't be a pure warrior, then decide halfway through that you want to be a thief instead. You have to be committed to your choice.
Once you have your choice and you get to the point where you let Baurus know what type of player you are, this is where things can get difficult. It's recommended that you choose up to three skills that you know you'll use on a constant basis. Since you're a warrior in heavy armor you should probably pick whichever weapon style you wish to use (Blade or Blunt), Heavy Armor and Armorer because you want to get this skill to 50 ASAP for it's ability to repair enchanted arms. The remaining four are recommended to be skills that you would have difficulty raising to 25 the old fashioned way such as Mercantile or Restoration or a skill that would level up much slower if it wasn't a major skill such as Athletics (matter of fact IMHO you should make this a major skill as it will take FOREVER to level up the old fashioned way).
So now you have your skills set up. Before you reach the end of the sewers you get a little bit of a "trial period" to see if what you have currently set up is what you want to play as (your skills, your birthsign, even the race and gender of your character). Be sure that you have everything the way that you like it before you leave the sewers as you wont be able to change anything once you do.
Now we get to the main course: stat building. The goal here is to get a +5 stat boost in three of your stats with each level up. To get this stat boost, you have to get 10 skill increases of any combo of the skills associated with that stat. We'll use Strength as an example. You'll need a combination of 10 skill increases in Blade, Blunt and Hand to Hand. This could be 10 increases of one, 5 increases of two, etc. A good way to achieve this is to level up all three so that you can easily get the maximum stat boost and slow your overall level progression. Trust me. You want your stats as high as you can get them as fast as possible because the enemies get stronger as you level up.
