Just finished the main quest and have found myself at a real loose end. Just searched the forums to start what I did with Morrowind (searching for all the wierd and wonderful/crazy unique items) and found that there basically isn't anythinig cool to start collecting. In Morrowind there was:
Daedric crescent blade
Merhunes Razor
the Daedric helms of Terror and whatnot
a book chok full of all the different items to hoard!
Where are they in Oblivion?! There are virtually no uniquely moddled items so sad. I want a helmet of Orien Bear-Claw dammit :evil: This game was soooo good til now. What's the chances that they'll release updates with new cool looking weaps??
The helm is there. Try Fighters Guild.
Most of daedric quest rewards are quite unique.
Besides that: Fin Gleam, Staff of Worms, Cape of Nocturnal.
There once was a Prince named Mehrunes
Whose buttocks sounded sonorous tunes
‘Twas an odiferous song
People sang before long
They had enough of his full crescent moons.
Vook is spot on, with the Daedric Quests you can get some nice items, the DB you can get some cool duds and other stuff, not to mention that magic horse, Shadowmere. There's also good stuff to be had by sheer dungeon diving and doing side quests. For example, I found Boots of the Shark at quite a low level, with a CE Water Walking enchantment. I found them to be an asset when doing OB gates, especially Bruma Great Gate, because provided your health is high to start with and you can either resist fire, have lots of Restore potions or have high enough acrobatics to jump off water, you can also walk on/jump off lava.
The people above listed a few things to keep you occupied, another thing you could try is turning to added content via mods. Most of the large conversions and best content mods won't come out for a bit longer but there could be a few things of interest.