I never finished Oblivion, but as I recall, by far the most broken strategy was to just never rest, so you never leveled up. Enemies are scaled with your level, but you could get most of the benefits from improved skills, but not face stronger enemies that way.
Leveling in Oblivion was linked to the major-skills that you selected at character creation, so it was beneficial to pick the ones you didn't intend to use. That way, you could pump up the important ones without scaling up the enemies.
