Playing Oblivion: Part I

I have started playing 'The Elder Scrolls IV: Oblivion' this weekend and have a couple of comments to make so far. The first thing I would like to point out to anyone who doesn't know this yet is to create a new game save before you walk up to the gate that exits the sewers in the beginning. The reason being that once you walk up to the gate you are given the choice to change your race, birthsign and skills one last time before you venture out into the world. Once you go through the gate you can not change these things again. The bonus is that if you want to create a new character you can use that game save as the start point and then create a new save so that you don't have to go through the opening sequence everytime you want to start a new game. The second thing is that I've gone through the 'Sideways Cave' and did not discover anything of great interest there. Am I missing something or is this area just a warm-up excerise?