One question on Oblivion though, how much care do I need to put into making my guy level up in the right skills at the right time rather than just playing? There are a ton of FAQs and discussion about power-leveling or balance-leveling your characters and I really don't want to have to obsess about that all of the time.
Oblivion is tricky only in that the leveling system is really strange and complicated. You need to spend a bit of time really understanding what you want for major skills and minor skills, because it is backwards from what you would normally think (skills you want to use a lot need to be minor skills and skills you don't use much should be major skills).
I personally think they over thought the whole character creation and leveling system but you can read about it in depth here.
http://www.uesp.net/wiki/Oblivion:Character_Creation
If you level some what correctly, the game is pretty easy. However, if you level incorrectly (which can be as basic as choosing the wrong set of major skills at the beginning of the game), it can be more challenging since all creatures are leveled along with your character.