Generally, I'm known as a rhythm gamer (FFR, Stepmania, Guitar Hero/Rock Band), but I also spend tons of time on RPGs, like Oblivion. I've also played Morrowind extensively in the past, but I don't anymore (and enjoy Oblivion more anyway).
After my first disastrous foray into Cyrodil where I couldn't beat an Imp at level 7 because I was too damn weak, I became an almost religious user of the Under Leveling strategy. My current character completed all the factions, as well as the Shivering Isles questline, at level 1. He's now level 8 (leveled up in order to train combat skills more quickly), with six major skills and seven other skills at 100. I'm at about 170 hours of playtime this playthrough. My eventual goal is to reach what my own sense of 100% completion is: completing every quest, reaching 100 in every skill, exploring every dungeon area in the game, and closing 60 Oblivion gates.
I don't believe in using mods or unofficial patches, and I'd only use the console to fix bugs.
Since I'm a large fan of efficient skill-increasing, here's a little opinion/personal experience on the difficulty of increasing the skills to 100, from easiest to hardest. Factors taken into account are skill rise/action vs actions/time, whether skill perks cause exp gain to be faster or slower, and how disruptive the efficient skill-raising strategies for that skill are (i.e. can you raise the skill efficiently during normal play).
1. Conjuration
Can be done so quickly with Spellmaking Altar that it's just not fair, and not disruptive to normal gameplay. All magic skills are easy, but this one is just silly...6 exp per cast? Come on, now.
2. Alteration
Same as above, but with 4 exp per cast.
3. Illusion
Above Mysticism because it's likely to be used more in normal gameplay--Charm, Chameleon, Frenzy, etc are probably more useful than most Mysticism spells.
4. Mysticism
I don't find it very useful, but it's still easy to raise.
5. Sneak
Auto-move raises it to 100 in a few hours. Easy as pie. It's disruptive, though.
6. Alchemy
Pick up ingredients whenever possible and it shoots up with absurd speed, especially at low levels. High levels give more options, which means faster EXP gain.
7. Destruction
One of the two "slow" magic skills to rise, but the total non-disruptiveness of it still makes it easy.
8. Restoration
Barely loses to sneak. Still, it's utterly non-disruptive, and therefore easy.
9. Armorer
Repair after every battle makes it go up quite fast. Expert perk is so insane that it's gained faster AFTER 75 than before it, which is pretty absurd. Rise to 75 is slower than 9th place on here, but after that getting to 100 isn't bad at all.
10. Speechcraft
Making everyone (especially guards!) love you is a good idea anyway. I found the final few points pretty tough, though, since I'd already raised ALL OF CYRODIL'S disposition too high by that point and couldn't find anyone else to persuade. Still, 2.4 exp/action is a lot. Can be raised more quickly by just playing the game badly, but that's disruptive.
11. Hand-to-hand
Small damage, very fast hits, higher exp/action than other melee weapon skills, but requires enemies.
12. Blade
Daggers can be used if you want to raise it pretty quickly without it being especially disruptive. Requires enemies.
13. Blunt
Only lower than Blade because I think it's just not as good. Also, its doesn't have the equivalent of a dagger for quick hits.
14. Security
Raises absurdly slowly if you don't go out of your way to raise it, but good auto-attempt strategies can raise it quite quickly. 100 lockpicks = 150 exp, which is quite a bit.
15. Light Armor
Goes up quickly enough as long as you take hits in every combat.
16. Heavy Armor
Same as above, but smaller exp/action.
17. Block
If you get used to blocking all the time, it's not so bad. Definitely slower than armor skills, though.
18. Acrobatics
Fatigue and health loss make it somewhat disruptive. Gains are much slower as the skill rises, since you jump higher and it takes longer to land.
19. Mercantile
It may seem kinda disruptive to pick up everything with value, but using good strategies made this not so bad for me. Still obviously a snail-speed skill to raise.
20. Athletics
Requires either amounts of auto-move that I'm just not willing to subject my computer to, or a HELL of a lot of playtime. Not disruptive at all, but good lord it's slow.
21. Marksman
Requires that you carry around a bow and a zillion arrows. Damage is appallingly low, so much so that it becomes disruptive to kill things with a bow. Exp/action isn't even twice Blade, but you can probably get at least five or more hits in with a blade for each one arrow shot. Ouch.