How to level up quickly in oblivion

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I'm not even sure if that'll make much difference though.

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That'll lead to more experience with your attacking skills, so they'll increase a bit faster, and if they're majors, you'll level up a bit faster. One of the consequences of that is that you'll have to hit things more times in order to kill them. Increasing the difficulty does two and only two things - it increases the amount of damage opponents do and decreases the amount of damage you do. In fact, since the rest of the world levels with you, leveling up fast actually makes you relatively weaker. Leveling up in this game doesn't instantly and automatically make you stronger.