The one mechanic I hate the most in Oblivion is just how fanatical some of the guards and NPCs are in chasing you after committing some crime. Like, holy shit, you pick someone's pocket in Leyawin, get caught, run out the gate, and a guard will chase you all the way to Anvil. There really should be some mechanic that once you're a certain distance away from the scene of the crime, they stop following you. That's what bounties should be for. Whenever I get far enough in a playthrough, I just start murdering guards and NPCs that refuse to fuck off.