But I do think the main game quest is a little easy when compared to morrowind.
Depends what level you do it at/what your character build is. If you level a bit before going into the first Oblivion portal you'll find it markedly harder thanks to the level scaling system. There's a fight in this one courtyard, shortly after shutting down the first portal, that I think would be damn near impossible to do if you were fighting against the high level daedra, which would happen if you waited to do the main quest until after you hit level 20 or so.
I've noticed a few graphic bugs like when I entered Oblivion and went back to the main world the sky was still the oblivion sky until I went to sleep then the sky changed back.
Unless the Oblivion sky was everywhere until you went to sleep it probably wasn't a bug. The Oblivion sky develops anytime you get near a portal.