So, you want to enchant your armor. What are some useful enchantments? Well, Frost Shield, Fire Shield and Shock Shield are good ones. In addition to providing up to ten points of elemental resistance, it also provides ten points of shield per enchantment used. If you use all three, you get the double bonus of elemental resistance along with extra shielding.
For thief/assassin characters, if you have a Fortify Skill spell (available from almost any Birthsign stone), then you can fortify your sneak, marksman, security or agility skills.
For Knight characters, you could fortify your blade, block, agility, or strength.
So, what is a Birthsign stone? It's a tall, reddish stone set into a circle of smaller stones. the stone has red runes on it that glow after dark. If you find one (and I'm not sure where they all are), you can activate it (but only after dark) and it will ask you if you want to use the power. If the sign you chose to be born under already has a fortify skill in its base abilities, then you don't need to go the extra mile to find a Birthsign stone. Getting access to one fortify skill spell gives you access to all of them.
Other useful enchantments:
Chameleon Suit: If you have five grand soul gems filled with grand souls then you can enchant two rings, a necklace, a pair of pants and a shirt (or any five different things). Once this is done, you will have 100% chameleon whenever you wear all five pieces at the same time. No one will see you when you're walking around, and it would be a great way to train sneak in broad daylight. Simply put the suit on, then sneak around people.
What else can you use a chameleon suit for? Stealing in broad daylight. You can walk into a store and steal right out from under people's noses and you'll never get a bounty. You still may not always be able to pickpocket people, as that is governed by how good your agility is, but you won't incur a bounty for trying because they can't see who did it. It's also a great way to reverse-pickpocket the zero weight armor or weapons onto NPCs who are followers to give them better stuff to help them not get killed.
Another thing to use the chameleon suit for is getting into places if you don't want to be seen to finish quests where you make a bonus for completing it exactly as given to you (such as many Dark Brotherhood quests, if you're playing an assassin), or for completing some Thieve's Guild quests where you aren't to be seen.
There are so many ways you can use the chameleon suit that I probably can't list them all, but the best use for it is when you're closing Oblivion gates. Wear it and none of the Daedra will see you and you can explore the plane of Oblivion all you want (except for the timed one). I'd also suggest going in with God Mode toggled (if you're playing the computer version) since you'll still spring the traps and no amount of fire protection will protect you from the fire traps or the lava water. Also, God Mode (tgm) will allow you to kill everything in your path and then carry the looted stuff back out. Frankly, I know this is blatant cheating, but darn it, those planes are dangerous, and I want my gold's worth out of them when I have to close them. I confess that I don't use God Mode when fighting in dungeons, but after I kill everything I will toggle it to carry out all the loot rather than rely on potions and spells to feather myself. I'll then fast travel to the nearest town, fix all the damaged stuff and sell it, then toggle it back off. Hey, I have my scruples and one of them is that for normal enemies outside the Planes of Oblivion I will fight them as an equal. But inside Oblivion, where the fire traps ignore fire protection, I will even the odds.
I will be back with other useful enchantments/spells later.