Fun things to do in oblivion.

http://www.uesp.net/wiki/Oblivion:Things_to_Do_When_You're_Bored


Ill pick out my favorites here.

Petting Zoo
Wander around outside until you come across some deer. Catch up to one and cast a Command Creature spell on it (like Dominating Touch). Get it to follow you home (continuing to cast the spell to keep it following you). Once you're back at the city where you reside, get Bambi to follow you into the stables outside of town. Once in the stables, close the gates, and jump over them. The deer will be trapped in there with the horses (unless you bought them all). Then go out and find more deer and follow the same procedure. Eventually you'll have a wild petting zoo with deer flitting all around the barnyard. This can work with other animals too, but animals that are considered hostile will invoke attacks by others.
 
I will make a video of that one. Really want to try it.

Hit 'n' Run
If you have a high Speed and/or Acrobatics skill, you can try a "hit 'n' run". Switch to hand to hand and punch a Guard once. He will get outraged and run at you, and if you're fast enough he will chase you around the town until he gets lazy and goes back to his post. No other guards should help him out as it's simply personal to him. Getting caught means facing a fine or night in jail.