Gamespot has posted part one of their Oblivion Guide. I haven’t read it yet, but it seems pretty comprehensive and mainly contains a walkthrough of the main quest, as well as information on character creation, skills, magic, and more.
In addition the walkthrough I previously mentioned, the following new walkthroughs and FAQs have been posted at GameFAQs and other gaming sites.
Update: Unfortunately the direct links to articles hosted at GameFAQs don’t work, so you’ll need to navigate there from the GameFAQs Oblivion page. Also, a whole bunch of additional guides and FAQs have been posted in the mean time, so I encourage you to check them out. I removed the GameFAQs links below, but I’ll continue to link to other articles.
The first Oblivion walkthrough has appeared on the web. I haven’t read it; let me know if it is any good.