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:
You should be level 7 or higher so you have the right weapons and armour. If you are born under warrior then you should be about level 5, or at least level 4. Make sure you have some good restoration spells as you will come across mages, dremora and scamps. I believe that is all that is in the first oblivion gate.