It sounds like you just mostly aren't aware of your options, Pyro. Firstly, start soul trapping! Even if you just get a super shitty, low-level spell, hopefully you can at least get one that lasts a few seconds, and that's really all you need. Get yourself some soul gems, then cast soul trap when the creature is about to die. Kill it while the spell is on, and it'll vacuum its soul right into your gem, which you can then use to recharge your items. You can also use soul gems to enchant gear once you get into the Mages Guild. The better the soul inside the gem (petty, lesser, common, greater, grand, etc.), the more it'll charge up your enchanted stuff or the better the enchant you can get on your weapon or armor. I highly recommend doing some constant effect stuff on armor or rings/amulets. Get some spell absorption or magic/damage reflection... shield spells... whatever. Any nice constant effect stats are a real plus if you're finding yourself getting swatted down a lot. Or you could go the other route and try to beef up your chosen fighting skill, try to up a few stats, whatever.
And remember it can be hard to find the right spells, trainers, etc. The game doesn't spell everything out for you, so you sometimes have to use logic, guess, or just hunt for stuff. Talking to people can help, but a FAQ might be your best bet. You can get resto spells at most cathedrals, and I know at least one Mages Guild has an alchemy trainer. Alchemy is definitely a good way to supplement your other stuff. It can be a little tedious picking ingredients, but you can get a lot of them just as you go, especially when you start fighting harder daedric enemies and going into Oblivion gates. Poisons can make your life a hell of a lot easier, and having access to large stores of healing items is always nice. Then the stuff you end up making that you can't use or don't want, you can sell for profit! Pretty hard to go wrong with alchemy. Healing is important, and if you don't have magic, you better have pots. Also, don't forget that you can wait around for an hour to regain your mana, and there's no real downside to using the wait command for stuff. The game doesn't get mad at you or anything. Likewise, you can sleep if you're in a dungeon and there's a free bedroll. Nothing wrong with taking a few hours to nap and get some health back.
And yes, you'll start seeing Oblivion gates all over the fucking place, to the point where you'll probably be half ready to close them as quickly as possible just because they piss you off. They're basically another kind of arbitrary dungeon, except once you "beat" them they stay beaten. And there are, of course, plenty to do also for the story.
Lastly... don't forget the difficulty slider! We play games to have fun, and Oblivion tries its best to scale itself so that the game always remains so. If it's too hard and you just aren't quite getting whatever it is you think you should be, just knock the slider down a bit. There's no shame in it. I had to do it with my first character a couple of times. Especially with TES games, there isn't much point in trying to be gung-ho to impress somebody with how hardcore you are. Might as well just have a good time and enjoy the rich universe. Eventually you'll get more used to the system and your next go around (or the next game in the series) will feel more natural, probably.
