Scattered around the Oblivion world are sometimes hard to find shrines that make you do a task. Doing these tasks given to you by the Daedra Lord can give you some pretty powerful equipment that will be of use to you.
Doing the quest given to you by Clavicus Vile will get you the helmet, Masque of Clavicus Vile. But, if you don't give CV the sword Umbra that you get, you can keep the sword, which is one of the most powerful weapons in the game, with a powerful Soul Trap enchantment on it. At level 21, it did 15 damage per strike with my blade skill. And, you have to be different levels to do the different Quests.
And, a downside to not giving Clavicus Vile the sword is that you can't get the Oghma Infinium, and skill book that allows to to steer by 3 paths: Steel, Shadow, or Spirit.
Steel: STR and SPD +10, BLD, BLNT, and HVY ARMR +10.
Shadow: SPD and AGI +10, ACROBT, LGHT ARMR, SEC, and SNK +10
Spirit: INT and WPR +10, ALT, CONJ, DEST, and REST +10