the leveling system is a little strange compared to morrowind. every creature in the game levels with you. using skills you don't use too much as your majors will kind of slow down your levelling. (though you can choose when you want level) frequently used skills as your majors will help you advance through the levels pretty fast, using minor skills doesn't help levelling at all. to level up, all you do is go to bed once your leveling bar is maxed out. Each time you level up, you are brought to a screen and given points to assign to different Attributes, which govern your skills (for instance, strength governs how much damage your blade does, willpower governs resistance and strength of your magick), if you've held off on levelling, but have levelled your skills alot, you can rest level up 1, assign points, rest again, level up 1, and can continue doing that until you are below a max level. (hope that makes sense)
You will probably feel like levelling every chance you get, however if you do this, the enemies become much more difficult, as they level with you, and then you'll realise that you should've raised a skill a few levels (the more you use a particular skill like using a sword will increase your skill with the 'blade', using destructive magick will increase your 'destruction' skill, using bow will increase marksman skill, jumping off ledges will increase acrobatics, going into sneak mode and having nobody see you while you're walking around will increase 'sneak', and the more you level your major skills, the more 'points' you get for levelling your character) though they drop better equipment for you to use, and you can specialise your character in certain areas.
You'll probably spend around 30 minutes to an hour setting your character up. I think that's how long i spent...an hour.
Then the game begins and it's pretty easy to get into, and it can be as challenging as you want it to be. Just make sure you get specific skills levelled up a good bit before you advance in levels, this way you don't end up getting screwed when you encounter a random bandit who has some nice looking armor, but his blade skill is higher than yours, and your armor skill (depending what armor skill you take there's heavy and light armor i dont remember there being a medium armor in this) isn't the best. that could be a tough fight. There are several guilds to join, i recommend joining them all and doing quests as you go from one side of the map to the other, you'll be able to train your skills for a price too instead of doing them over and over.
it's alot of fun and once you get into it....damn addicting.
oh, btw...i got home at 3:00am last night....4.5 hours of sleep FTW!!! i can sleep another 45, but why? i'm up NOW! think i'll shower, eat, play some oblivion then head over to walllllllllllllmart! lol cracken, if you have anymore questions about oblivion, ask me! it's very fun game.