One thing I don't understand is why people don't want too do the MQ right away? Thats what I look forward in TES because its a chance to evolve my char further I can do all the other fun stuff after i'm done, especially since there will be dragons after your done as confirmed by Beth.
Something to do with knowing the game. In Morrowind you got to do something else before you start the main quest to get to know the game or what the NPC say go undercover, work for a guild or go freelance.
One of the weakness of Oblivion is when you start the main quest right away and you get next to nothing for it because the world of Oblivion levels with you.
This is my way to play Oblivion which is rewarding and challenging .
I explore the place, go into caves and ruins to make my character stronger before I join a guild. The I join a guild or do one of the DLC's to get more stronger and get more reward and more loot. When I done with one of those then I start the main quest.
Once I started the main quest at level 32 and it is a very good challenge. Even playing with OOO
Also there is no panic when you start the main quest. I hope Skyrim fixed that.