The Oblivion Crisis
Talk about deja vu. There is a mod called "Demon" for Bioware's "Neverwinter Nights" that has you do something called "Gate Diving" - step through a portal and deal with whatever is on the other side. In this case, you're diving into Oblivion again (and again and again and ... well, you get the idea).
This is not a quest so much as an on-going thing that lasts until you complete the Main Quest. Once you convince Martin to come with you to Weynon Priory, Oblivion Gates start opening all over Cyrodiil. The crisis escalates when you retrieve the Mysterium Xarxes from the Dagon Shrine. There are a few gates that you should close (the ones outside the major cities), but the rest are optional. There are 90 possible locations for these gates to open, but no more than 50 can be open at the same time. There is a very nice utility, called "Obliv-o-map" at planetelderscrolls.gamespy.com that will show you all (or at least "most") of the possible locations for these gates.
The Gates are triggered when you enter the area where they can appear. For the most part, they're in wilderness areas and won't appear in a space already occupied by a named location. Because things like Wayshrines, Runestones and Ayleid Wells aren't marked locations, they're fair game for Oblivion Gate locations and the Wayshrines east of Skingrad and northwest of Anvil will almost certainly be destroyed (hint: you might want to visit these two BEFORE you rescue Martin).
Closing the gates works very much like it did in Kvatch - enter the gate, find a way to the top of the big tower, and activate the Sigil Stone. This puts a leveled Sigil Stone in your inventory and increases your fame by 1 each time that you do it (by 2 in the case of gates outside of the cities). Since there are several different layouts for the areas behind these gates, I can't give you anything concrete in the way of directions. I can, however, give you some helpful hints to avoid some problems.
First off, after installing the patch, I encountered one Oblivion layout that has two gates in it. That layout may have been present prior to the patch, but I just didn't run into it or get to the part of the map where the second gate was located. In this situation, taking the Sigil Stone closes the gate that you used last, it does not close both. However, if you go back to Cyrodiil through the other gate before activating the Sigil Stone, you'll have both locations marked on your map and can go fast-travel back to the other.
If you are careful, you won't encounter too many situations in Oblivion where you'll be fighting more than one or two opponents. Stealth is highly recommended at all times (as is saving your game). Players with high Stealth skills (especially those who have Nocturnal's Cowl from the Thieves Guild questline), may be able to get through without having to do anything other than sneak attacks. Note that Clannfear seem to have a god-awful detection chance: 80+ Stealth, Sneak fortified by 50 and a 30% Chameleon ring and they still see me. At the very least, you'll have lots of opportunities for good backstabs.
Avoid the landmines and fire turrets (they shoot fireballs at you) whenever possible. Although the fireball spells can be dodged, the towers have a decently fast recharge rate. Landmines are one-shot deals that can be taken out with arrows and some ranged spells. Like the Dark Welkynd Stones, you can't sneak by them. So use whatever cover is available and move quickly. A Fire Shield effect of some sort will help tremendously (Dunmer have a distinct advantage in this situation).
While in the central towers, anytime that you see a glowing claw lever, pull it. It will trigger a trap of some sort. If you're lucky, an enemy will take the hit for you. Otherwise, you'll at least be able to think of a way through or around it.
Collect ingredients whenever you can safely do so - remember that Harada and Spidal Stick make a good poison for Novice-level Alchemists. You can also get Bloodgrass in abundance, Daedra Hearts, Clannfear Claws, Scamp Skin, Daedroth Teeth, Fire Salts (Flame Atronachs), Frost Salts (Frost Atronachs), Void Salts (Storm Atronachs), and Daedra Silk and Venin (Spider Daedra). Almost an alchemist's dream world.
At lower levels it's going to be awfully tempting to take the weapons and such from the Dremora (at higher levels, yours are probably better). I don't know that they are really worth the effort, though. They weigh a ton and, on a gold per pound basis, aren't really worth it. Enchanted weapons might be. It's your call, though.
Your Sigil Stones are random. There are 30 different variations of each type and the stone's properties are determined when it enters your inventory, so you can save and reload if you don't like what you get. If you're fast on the activate button/key, you can get more than one in the release version of the game (the patch fixed this little exploit) - just keep activating the Sigil Stone until the gate blowing animation starts. The type of stone is tied to your level:
The higher your level, the more powerful the enchantment that it will provide (and also the greater the difficulty in getting to it). Each stone provides two enchantments. One is a casting effect for weapons and staves; the other is a constant effect for clothing and jewelry. You can have one or the other, but not both. What the Stones let you do is create enchanted items without the need to go to the Altar of Enchanting at the Arcane University (or the Wizard's Tower official mod from Bethesda). The effects you can create are limited by the stones themselves, but most are fairly useful and the items can be recharged as any other enchanted item.
There's almost no way around it. You're going to wind up with stones that you don't want. You can increase the odds of getting what you want by saving the game before activating the Sigil Stone. If you don't like what you get, reload and do it again. If you'd rather not go to that bother, the Stones that you don't want can be used on cheapie weapons or clothing/armor items to at least get you some extra gold.