My first ES game was Oblivion, and did I ever love that. I'm almost positive my first character was a Dark Elf, played with it till about level 20 or 25. That is when I figured out how to play the game and started doing research on what were the do's and don't's of the game. (I'm OCD when it comes to this kinda plops)
After playing through many, many, MANY characters in Oblivon, I finally settled on an Redguard assassin-type. Being a Redguard, you start out making up for the very reasons why sneak-type kind of suck (Low health, bad melee combat, stamina etc). I realized how powerful it really was when I did the Arena and how OP Redguard's adrenaline rush is. (Arena
where art thou in Skyrim!) I also had a Breton Spellsword that I held dear to my heart, but I quickly found out Sneak + Archery yielded far better results. (My entire time playing Oblivion I barely understood enchanting/soul gems)
I don't really have a favorite race, it really just depends on my playstyle. In Skyrim, I only choose Orc/Breton/High Elf because statistically speaking they are the best and I like what they did to their appearances, especially the Orc. Although I rarely play Redguard characters in Skyrim, they always have a special place in my heart but they would be my main choice if I ever did an Assassin type character again. I made a Nord Assassin in Skyrim and probably could've benefited more from a Redguard but with Sneak being way OP, it gets really boring for me. The races I haven't played are Imperial (Stats/powers suck, I'm gonna be honest), Argonian (Powers are alright but I just hate the look), Khajiit (Hate the look), and the Wood Elf. (Stats/Powers are lame)
I remember playing Oblivion and I couldn't believe how my computer could even play it, it looked SO beautiful and it was one of the funnest games I've ever played, completely sucked me into the RPG genre. Looking at it now, can't believe I put 300+ hours into it (I guess mods helped a lil XD). However, as much as I love Skyrim, I had about 100x more fun with Oblivion the first time around.