Mods only change the degree of play associated with a game..., its not really cheating but rather enhancing your gaming experience, basically rebuilding the game to associate more from what you want from it.  I prefer not to change a game so bad that it destroys the original premise of mechanics within a game, which OOO and MMM do, but, some, like those that have already posted, think that Oblivion needed a good fix (why the mods were probably made in the first place :) and I prefer to play a game under the notion of the original intent from the gaming developers.  Not that mods are bad in my eyes, I've got quite a few graphical enhancements and other cosmetic components to my game that make it far better both visually and in play...,  

In any case, you can play Oblivion however you want to, a strong leveled character, using the degree of play already in the original, you probably want to pick primary skills that are not nessesarly what you want to use all the time, say, for a Mage, instead of picking the obvious seven, pick Hand to hand, Blade, Blunt, Heavy Armor etc..., that way, you use skills that are minors but still get the plus 5 attribute change thats associated with the skills without worry of leveling up too fast.  I always pick Mercintile, Speechcraft, and Mystisim within any of my character builds because, when your ready to level up, you can work those skills up fast and controlled, just sell a lot of things, talk to people using the dialogue wheel, or make yourself glow, they also make a good transition from a Warrior to a Mage later on when you start getting 100s in your three major attributes.