If your having trouble with the Oblivion Gates, then you're making it harder then it really is.
First things first your character must be highly skilled in atheletics and acrobatics. To do this you're also going to need around 150 lockpicks which you can buy from the thiefs guild shopmasters.
Alright upon entering the Oblivion Gate do not fight any one just run. Now run to the center tower which always has the sigil stone. Depending on the Oblivion plane you're on you may be able to run or you might need to climb and jump on multiple rocks and run up the hills to get to the tower.
Now run around the tower till you get to the main door, somtimes this is blocked by small walls which those skilled in acrobatics can over come with ease.
Proceed to jump over or find ways to get over the wall and that's the hardest part done.
Make your way into the center tower up to the top (note some doors may be locked). This is where those lock picks come in handy - keep picking the locks till you get them.
If you're good enough at the lock picking mini game it should only take around 2 picks.
Proceed up to the area housing the stone. Remember not to fight anyone.
Having a high enough atheletics skill will make out running them easier. Grab the stone and walla!
If you practice this enough you should be able to grab the stone from both the small gates and great gate in 3 minutes or less.
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