If you don't understand the leveling system in Oblivion the game will get really difficult at around level 15 and higher. You will have to kite (attack, run back, attack, and so on) high level creatures - even if you are using melee - in order to survive.
The key to leveling is to get as high attribute bonus as possible when you level up. Getting three 2s is really not good enough. If you get 4s or 5s you'll be more than fine. The bonus you get is decided by how many skill level-ups you've had in an attribute (strength, intelligence, etc) during that level. So if you want a high bonus in strength you need to level your Hand To Hand, Blade, and Blunt skills. How many skill-ups you get determine how big a bonus in that attribute you'll get. It makes no difference if these skills are in your major or minor skill sets, and it doesn't matter which ones of these skills you level. So you could get a +5 bonus just by leveling Blade if you wanted to. Also, if you have had 10 major skill-ups in a level (ie when you can level up by sleeping), skill-ups you get after that doesn't affect that level. They are transferred to the next level, so be sure to level your minor skills first so you know you will get a good bonus. However be warned, skill-ups in minor skills aren't transferred, they are completely wasted.
Here's a list showing how many skill-ups you need for the bonuses.
- +0
- +2
- +2
- +2
- +2
- +3
- +3
- +4
- +4
- +5
Because the creatures scale with your level, the game for most players only gets more difficult if you level a lot, so there's no point in leveling if it's not going to be a "good level". And to be honest, if it weren't for some special "bosses" being a set level, you'd be able to complete the whole game as level 1. So what I do in Oblivion is to put all the skills I am going to use frequently in the minor skill set. And then I put skills I won't use in major skills. So for a warrior character, put blade, blunt, heavy armor etc, everything you'd ever use as a warrior, in your minor skills. Then put alchemy, conjuration etc as major skills. This way, you decide when you want to level up by grinding your magic skills for a minute wherever you are. This means you can quite easily get +5 in every attribute you want when you level. This isn't as easy when you're a mage however, as you won't be able to "farm" your skills like this out of combat.
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