I just started playing Oblivion TES4 and chose a thief. I'm currently at the tower looking for the prisoner inside the first oblivion gate, but almost any enemy would 1-hit kill me. I'm still level 1. Did I miss something, or is it just the way the game is?
One of the most quirksome features of Oblivion is that everything scales. It doesn't matter where you are -- whether invading old undead-infested forts, or clearing oblivion gate after oblivion gate; the champion arena matches, or facing off against Manimarco the King of Worms -- all creatures are scaled to give you approximatley the same level of difficulty throughout.
So to answer your question, there is no proper level. However, the game can be a bit brutal at the early levels before you can build up enough of a health buffer to make fights more drawn out affairs. How are you building your character? (Stackexchange has some good questions re: oblivion for these very things!).
You should find these links useful: