i passed oblivion with a lvl 13 assassin wood elf, all you need if a LOT of stealth so you can run freely behind ennemies and do stealth shots with a bow.
my secret? try to find magical arrows with 40-60 fire dmg over 3 seconds.
they can rape everything...as for the fire immune guys, i keep a few 15 cold dmg arrows in my inventory.
hoped that helped
(my bad i got wrong button this post was meant to go on topic Oblivion...TooHard. if a mod could change the post's place )