You will be addicted. VERY addicted.
There are plenty of races to choose from: Imperial (the main population of Oblivion, good at speechcraft and weaponry), Nord (from the province of Skyrim, they have increased resistance to cold and are formidible warriors), Khajiit (a race of cat-people, normally suited to stealth classes. I usually turn mine into warriors as well.), Argonian (a species of lizards, usually more suited to stealth as well), Orc (natural-born warriors), High Elf (very well suited to magic oriented skills), Breton (also well suited to magical abilities), Dark Elf (can be warriors or wizards, normal skills with steatlh), Wood Elf (good archers, can be good wizards), and Redguards (rivals the Orc in warrior ability)
Then you progress through the tutorial and choose your class and birth sign. When you have completed the tutorial you have the choice to change anything you might have chosen before, so no worries if you pick something and don't like it.
After you have completely done the tutorial and gone into the outside world of Cyrodiil, the game basically turns you loose and you are allowed to do what you want.
You could choose to pursue the life of a knight in the Fighter's Guild, a mage in the... you guessed it, Mages Guild, or the more infamous could choose a path in the Thieves Guild or Dark Brotherhood. Or if you choose, you may do them all at once. It's up to you. But there are reprocussions if you commit crimes. The guards will chase after you, and if they catch you, you will be faced with a choice of paying the fine, going to jail, or resisting arrest.
Oblivion gives you lots of choices and freedoms, not to mention the game looks and sounds beautiful. From calming scores while you're exploring, to fast paced music during a fight, the sound design is top notch. The same goes for the graphic design. Oblivion is one of the most beautiful games for the 360 in this reviewer's humble opinion.
If you have even a fleeting interest in RPGs and have a 360, this game is well worth your money.