Well, first, if you have a half-decent graphics card(ie: above 128M

you should install the
Qarl's Texture Pack.
Makes Oblivion look soooooo much better, and your fps doesn't take a massive hit.
Martigen's Monster Mod is another great mod.
And I suggest Oscuro's Oblivion Overhaul.
Those three mods, plus a colored map, are my only mods in oblivion(other than the official ones)
But you do want to make sure they are compatible. You may have to find the beta version of some of these mods so that they are correctly compatible.
(but the texture pack doesn't have compatibility issues)