I had well over 100+ mods before I last deleted Oblivion (on my old PC).
Currently I have ~40 installed, but I'm waiting for a chance to download QTP3 (my internet had been working on and off the past few weeks so it kept getting interrupted, it's fine now though) before further improving.
I mainly only have visual mods, very few gameplay changes. When I last played though, I had everything optimized for stealth characters (faster arrows, better stealth system, better lighting, no physic guards, thieve's highway, and a nifty patch that inserted sound files from Thief 3 whenever I performed certain actions, as perceived from coming inside my own head - was VERY immersive).
I can definitely recommend getting natural environments (especially natural weather) and all the sound overhauls listed on UESP Recommended Mods. Also get a mod to make lightning more realistic/immersive, I had one that was unbelievably great but I forgot the name of it - when flashing the entire world lit up with a bright light, including realistic shadows etc, may sound cheesy but it looked and felt photorealistic.
I also use DarNified UI. More good mods are Better Cities, Illumination Within and droppable torches in combat (when you pull your sword with a torch in your hand, it drops the torch where you are and you can pick it up later to continue carrying it).
Basic must-haves are Unofficial Oblivion Path, Streamline, Operation Optimization and HrmnsOblivionScriptOverhaul.
Another nice mod is Nighteye shader replacement which replaces the default blue nighteye with a shader of your choice (iirc there's like 10-20 to pick from).
