Ooh...for me, it depends on the character I'll role-play as...
Celia (female Altmer):
1) Play around with character creation/face sliders, etc.
2) Talk to many NPC's to check out Radient AI
3) Check out the Nine Divines
4) Become a healer-type person, and help people
5) Explore caves, etc. and find/talk to vampires
Lilim (female Dunmer):
1) Play around with character creation
2) Locate nearest Thieves Guild hangout or just steal like crazy
or
3) Join Dark Brotherhood
4) Become a kind and ditzy assassin, who usually doesn't like following the rules
5) Look for Argonians and Khajiit and become best friends with them
6) Look for a nice house. (Kill the owner of it, first, of course!)
7) Get rich! and go shopping!
8) Become a werewolf (if there are going to be werewolves in Oblivion)
9) Check out all of the handsome Dunmer and kill off any competition AKA other pretty female Dunmer
Might not happen, but still hoping --> Emma (female Breton):
1) Play around with character creation and try to make character as young as possible
2) Join Arena?
3) Learn Necromancy and gather as many corpses as possible (if possible)
4) Hunt all vampires
5) Explore everywhere
6) Get rich and go shopping!
7) Fight zombies and cute undead skeleton warriors!
Marigold (female Bosmer):
1) """"character creation
2) Join Thieves Guild immediately
3) Ignore all Khajiit
4) Try out bows and arrows and test out physics
5) Take quests with best rewards
6) Steal a horse
7) Explore, get rich, and go shopping!