If I remember correctly, you were heavily in rp back the days of BG and Icewind series...
Well to become what you want (rp wise) in Oblivion you need to somewhat powergame...
Breton seems to be what you want; my suggestion is to focus on Endurance and Int. first (HP and Magica Pool is not enhanced in retro-perspective, unlike in other rp-games)
As for Skills:
choose controllable major Skills; make certain that you have at least one that governs Attributes you need (e.g. Armorer for Endurance)
Skills you need, should be minors (in this way you can decide when to lvlup, not the game engine; always remember to max out Skill Points (get 10 Points in skills that control one Attribute you want to achive multiplier of 5), before getting the 10th point of a major Skill (as your advancement in other skills will be blocked)
Hope this helps (most certainly it will left you totaly confused; sry if so
)