You're sleeping on the Mages Guild questline, honestly. Yeah, it's not as flashy as the DB, but the later quests get genuinely weird and unsettling in ways Skyrim never really matched.
The whole arc builds to something legitimately creepy - without spoiling it, the final quest involves a Daedric prince in a way that's way more unsettling than just "go kill this guy for Sanguine." There's actual cosmic horror vibes, which Oblivion does better than any other game in the series imo. The lore implications alone are worth it.
Also worth digging into: the Sheogorath-related quests scattered around the world. Not a formal questline, but if you're after that "Oblivion is weird" feeling, those hit different. There's one involving a statue and some genuinely disturbing dialogue that I won't spoil.
If you want to avoid fetch-quests entirely though, honestly? The Dark Seducers / Golden Saints questline in the Shivering Isles (if you have the expansion) is probably your best bet. It's got actual moral weight and the faction politics are way more interesting than anything in the base game.
What kind of builds do you usually run? Might help narrow down which questlines would actually feel fun for you.