Heh, oblivion is kind of lonely. I am pretty deep into the game, level 25 atm, and you're right, it does feel like you're alone in teh world. The frustrating thing is that following the quests is really the worst way to see the game.
Each time I've ignored the quests and just did my own thing, sell stuff, organize my house, wander around the wilderness, the game really shines.
Oblivion is amazing.