Been playing Oblivion for a month or so now. Normal difficulty, slider is in the middle. I am level 9, and Journeyman in most all my major skills... Armorer, Blunt, Heavy Armor, Alteration, Sneak, Marksmanship... and I have done a bunch of side quest (not nearly even close to all of them). I have just finished the second to last main storyline quest and haven't had any real trouble getting through it all, nor any of the Mage guild quests and other quests.  
  
<SPOILERS> 

Now I am on the last part of the of the main questline, the part where you take Martin back to Imperial City to the tower, to fight Dagon and his minions. The NPCs with me are getting slaughtered in a matter of minutes, and I am finding myself facing hordes of mobs all at once rather quickly, and getting killed without a chance to do much by the time Dagon appears. This is all odd to me because I have had relatively no issues killing things and advancing the quest line until now. Obviously the last story quests of the game should be hard, but I feel like I am missing something critical.
 
Did I move to fast through the main quest line?. I realize the game is meant to be played in a explore-the-world and take your time kind of way... but I just wanted to get the story moving and finish the expansions in time for Skyrim.   I am thinking I should go back and level up to near max level, get master in more primary skills? If so, what sort of path would you recommend? Perhaps do all the guild quests? Do some random dungeon hopping? Then go back at level XX and go back and try final quests again? 
 
Thanks in advance!

If you want it to get easier you should do a load of side quests without leveling up your character, that way you will get strong but the enemies won't.  You could join the fighters guild and see what they have to offer, think you can level up some of your skills if you do that also by talking to some of the people in them. You need to be more good than evil to join the fighters guild so if you want to join the thieves one or the dark brotherhood you should first start the fighters guild quests since they don't kick you out for being evil or anything later on.
 
It's a shame not to explore the world since there are some cool stories and from what I've heard (I've actually only just started playing it recently myself) the side stuff can often be better than the main quest lines. It's fun to just wander around and see what comes up, you'll no doubt find a dungeon or mission to help level your skills, sometimes people even come up to you to start quests. 
 
Sorry I can't give more help, but as I said I'm relatively new to the game myself.

Do at least all the guild quests + Shivering Isles, that should set you right. I was max level before coming to the end of the main quest.

Guild questlines are very well done. Not only that, but they provide both great equipment and experience to prepare you for ending the main quest line.