I started Oblivion last night with
Alternative Start Arrive by Ship-- your game begins in the quarters of a traveling ship, on the desk are your immigration papers. The immigration papers initiate your character creation-- race, class, appearance, AND a 'background' which grants you some possessions. You have an option of where the ship will take you. While waiting, you sleep in the bed, and have a dream about the Emperor which gently nudges you towards the main quest.
It avoids the confusion of you being a prophesied "chosen one" when the protagonist and "chosen one" of the game is actually Martin Septim.
It feels pretty good to step off that boat and begin your new life with a back story that doesn't involve you being in jail for whatever reason.