Well, I tried playing vanilla (guess that explains it). It was almost impossible for me to beat the first part of the quest line and now I'm lost and have no idea what to do (think I just went to stronghold after first part).
Does this game get any coherent after that (with expansions), or will I just be running around doing random quests, dungeons, and closing oblivion gates?
You mean content? No. not without plugins, Shivering isles expansion, or mods. Actually it isn't a bad idea to farm sigil stones. Get Transcendent Sigil Stones with Chameleon on them. Make a full set of Chameleon armor, then breeze through the thieves guild stuff.
Also don't finish the main story. That closes all the oblivion gates automatically. --- Load the Spaceship with the rocket fuel, LOAD IT WITH THE WORDS!
I'm prety sure that most quests are labeled in some way. like an Oblivion gate icon for main quests, two swords for fighters guild, shrouded guy for Dark Brotherhood, etc. As a mater a fact a lot of people complain that the quests hold your hand too much with the map marker GPS, fast travel, simplistic goals, etc.
In any case... quests mentioning: oblivion gates, Martin, Mythic Dawn, etc. are almost always main quests.
As for being a Thief: It's pretty hard to do Oblivion Gates and face to face combat with them. Especially if you are just starting and don't understand all the mechanics, but gain a few levels, get some spells, better skill, equipment, and understanding of the game and you'll be breezing through gates cloaking, sneak attacking, or just plain running straight for the sigil. Note however that enemies level with you so try to make sure you raid a few Marauder/Bandit dens to keep up to date with armor/weapons. Also level effectively by not raising your major skills only. raise other skills too so you have a higher attribute modifier.
<rant> If you're looking for an indepth central plot where everything melds together and everyone recognizes what is going on in the world and reacts to it.... it doesn't really have that so much. It's like most of the people in the game live in their own isolated little world where they just can't register that there's an Oblivion Gate five feet away from their cottage, or whatever. Outside of one side quest and a few rumors/random comments anyone not directly involved in a main quest has no idea that there's an invasion.
I mean it IS possible, even in an open world game, but it would be a TON of work... Not to mention Bethesda's never really been known much for good writing or character development.</rant>
--- "You are a planned organism, the offspring of knowledge and imagination rather than of individuals"-Morpheus