It was pretty retarded that Bethesda took away Morrowind's unlimited training in Oblivion, yet on the other hand also took away skill requirements to advance through ranks. Then again, most changes from Morrowind were pretty retarded, to say the least.
Best thing to do in Oblivion is kill Umbra at level 1, nab her ebony armor & ub3r sword and head through the portal to Sheogorath's realm.