I dont know what your specs are, but there is a mod and tweak that lowers grass performance hits, making the outside FPS much better, i had to do it on my 7800GS agp, and it made it much faster without actually making the grass look crappy, highly reccomend it.
Also, if you happen to get bored theres a mod called Oscuros Oblivion Overhaul(sp?) aka OOO, which adds new stuff to the gameplay and world of Oblivion.
The distant lods look crappy, aparently the latest official patch makes them better but as i killed my hdd and dvdrw, and im on a backup hdd, i cant install oblivion to find out! There are texture packs also that enahance the graphics indoors and outdoors...but these can bring even 8800 series to their knees at times.
The console is quite fun for playing around...but ive messed my game by using it a few times....but its handy because you can edit your race and sign and job with the console after leaving the sewers, which is v handy.
Lastly, if you went theif/assasin type, definately join the Dark Brotherhood when you get the chance, they have my most favourite missions!