I've found that, no matter how many times I've decided to try and play the whole game, I always get sidetracked (usually by other games), but when I do put a good amount of time into Oblivion again, I end up going through side-quests, either stock or downloaded. The first time I played Oblivion, when I was the most into it, I got maybe 3 hours into the main quest, but finished most of the guilds, Thieves Guild, Dark Brotherhood, etc...
Not sure what it is with the main quest, but I still haven't gotten through it. Even now, I started playing the Lost Spires and Shivering Isles long before I decided to give the main quest a try.
I really think that's the great thing about Oblivion... even if you NEVER get to the main quest, there is so much to do that it doesn't really matter! Save the world... meh, I'd rather go dungeon crawling.