Well I finally have started playing Oblivion now too. Gotta say that the whole training dungeon is a great introduction. I find it all a lot nicer to play than Morrowind.
I was going to be a "good" character but everything is wayyyy too tempting. Larceny, murder - that's where the action is LOL.
Just to muck around, I woke some bum and capped him. Someone called out "murder!" but no-one showed up so I went to sleep on the bum's bed. Got woken up by a guard but the Dark Brotherhood guy was there too! So the guard says he'll take me to the guard-house to sort me out, screen goes black, comes back and I'm chatting to the DarkB dude about joining them (looks awesome when he stealths off!!).
He leaves, I go rampaging and manage to kill some guards (my bounty was up to about 10,000). I strip one guard of his Imperial armour and wear it hoping for a disguise - totally didn't work. Some Palace Guard arrives so I kill him too (can't get his armour wtf).
I try to get out of the city and eventually get swarmed and lightning bolted to death by some elven dude. Wow.