Well like most people the first time:
Took a deep breath, drew my sword, said out loud 'lets do this' and jumped through. Man I wished I could have seen the dumb look on my own face when nothing happend.
Jumping through several times and thinking: 'WTF, is this thing broken?' Eventually I figured out that activating it works best

In my first few games on my old PC though, I usually raced through the main quest to get rid of those gates who ruined my framerate. (until I figured out that never going to Kvatch works too)
Now I have a nice new fast PC and in my latest game I'm going for closing all the Oblivion gates, I'm on 26 now. I love hacking Oblivion scum to bits with my very good warrior cat.