Okay, if this is your first Oblivion gate it can be quite tough. Constantly save the game whenever you get passed a hard fight. Luckily for me, I had 100 in Block, Heavy Armour, Light Armour and Repair before I even left the sewers.
I didn't cheat (except to dupe some Repair Hammers) and it took me like 3 hours. Having 10+ rats trying to kill you on the easiest difficulty will level you like mad.
If this is on the 360 then I know this exploit that will make your life a whole lot easier, the dupe bug. If you search google it, it will make your life much easier.
Duping will get you all the health potions and gold you could ever want. Within the first day of starting my Kahjiit I had 100,000 Gold, Full Ebony + Umbra, 2,000 pounds worth of Encumbrance and level 100 in many of my skills.
By the way, I recommend Heavy Armour because it looks cooler and it doesn't slow you down when you get level 100 in it.
Also, you should google the 'Permanent Enchantment Glitch'. Hope I helped!