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The Shivering lsles is perhaps worth delaying, as early on it'll give you a levelled version of Dawnfang. This is one of the best weapons in the game, but if you acquire it before level 30 you'll get a lesser version of it than if you'd waited.
http://en.uesp.net/wiki/Oblivion:Leveled_Item_Quests
http://en.uesp.net/wiki/Shivering:Leveled_Item_Quests
however, if you start with all of them on from the start, if could slightly hurt your rpg experience. basically, you'll start receiving letters (notifications about dlc's) which speak about your vip status while you are still a prisoner.
I'm with Bomb on this one, save Shivering Isles until you've either finished the main quest or levelled up a bit for best possible loot. Knights of the Nine can probably be done before but again, your loot is likely to be levelled, everything else is fair game for whenever really.