I loaded my previous character and went straight in. My character is Level 13, having finished the main quest and all the sub-quests of the factions (all 1000 achievement points), and I have the Skeleton Key which is basically insta-unlock for anything that comes my way. The game doesn't tell you where the entrance is, so I had to look it up online.
I've already found a sweet ass sword, you get it when you do the dungeon I talked about earlier. It's called Dawnfang, and it has Fire imbued in it -- but when it turns night, it changes into Duskfang, and has ice instead! When it goes back to day, it changes back to Dawnfang, but the magic properties regenerate. It's way better than the Glass sword I had.
I think its already loads better than Oblivion proper, the environment is nice and the characters are more chatty and have more life.