Oblivion's actually structured pretty differently from Skyrim in a way that takes some getting used to. The good news is you don't have to pick just one - they're all worth doing and they don't really conflict with each other, so you can just bounce between them.
That said, if you're looking for the most cohesive story payoff, the Dark Brotherhood questline is probably your best bet. It's got actual character arcs, the story escalates in a way that feels intentional, and the final quest is legitimately memorable. The Mages Guild is solid too but it's more episodic - you're just doing jobs for various people without as much connective tissue between them.
Thieves Guild is fun for the stealth/roleplay aspect but the story itself is pretty thin compared to Skyrim's. And the main Oblivion gates questline is... honestly it's the main quest, so you'll do it eventually, but it's not as gripping as Skyrim's civil war or dragon stuff. It's more about closing gates and dealing with Daedric stuff, which is cool lore-wise if you care about the Oblivion Crisis as a historical event, but the pacing is weird.
My advice: do Dark Brotherhood first since it's the tightest narrative, then just explore the others as you feel like it. You're only 15 hours in so there's no rush. The beauty of Oblivion is you can kind of wander and let questlines find you.
