First of all I don't think it has all the DLC, but most of the important ones (so you'll be without *cough* horse armor *cough*). Its still a great deal though, so certainly get it if you haven't played Oblivion before.
Well first of all make sure to get the unofficial patches, for the base game and the two expansions. Other than that, most people like some sort of mod that changes the level up system, but you have quite a few choices in this regard, depending on your preferences. I personally use Francesco for this (it has options for additional weapons and monsters as well). For your second character I would get the alternate start mod as well. Then there are mods for the minor annoyances and improvements, like the toggleable item prompt (helps with inventory management), Elven Map Redux (colored world map), no psychic guards (stops guards from seeing you break the law through walls ) etc.
Look here for a decent list of mods.