Oblvion has taught me one thing: Khajit, Archery, and Sneak. Sneak really empowers archery with the bonuses, and extra armor with % bonuses really help take the edge off of battles.
Downside: it's much easier to level up and get too strong, leading to potential boredom. That's what happened with me in Oblivion, and once I finished the main quest, I had no desire to "finish" the remaining quests.
I'm currenly at level 40, with barely a third of the main story completed, and I've already leveled up too fast. I'm not bored, but I do miss the challenged of having 6 Draugr coming after me and having to sweat it out my last shot beats their last hit while I'm teetering on audible heartbeats.