Oscuro's Oblivion Overhaul is the only mod I'd call essential, it strips out a ton of the level scaling bull**** and adds lots of handplaced items and loot, it also makes lots of lesser but sensible changes like adding female guards and lockpick skill restrictions.
Beyond that you'll probably just end up adding a few smaller mods as you go along, Natural Environments is a decent mod, it makes the forests thicker, adds birds and some random insect life, some music packs wouldn't hurt either, listening to the same five to ten tracks in a game as big as Oblivion is torture.
Don't forget the Unofficial Oblivion Patch too.