So, what are they? In Oblivion, they're a floating ball of yellow glowy light. Kill them and they drop something called glow dust, which can be used in alchemy formulas. You also need glow dust during the main quest if you get your Daedric artifact from Azura. You have to approach her shrine either at six in the morning or six in the evening and offer her up some glow dust.
Wisps are classified as ethereal undead, so normal weapons won't even scratch them. Silver, Daedric or normal weapons with an enchantment will hurt them. Also the Ancient Akaviri katana or a permanent bound weapon will also hurt them. Normally, bound weapons are conjured with a spell and disappear after a fixed amount of time, but due to a game glitch, if you damage them, repair them and then drop them and wait for the timer to expire (or use a dispel spell), and you'll have a pretty powerful, weightless weapon. They look like Daedric weapons and are, in fact, slightly weaker versions of them, but they're still some of the strongest weapons in the game for low-level characters. And you can get one, along with a piece of bound armor, at one of three different rune stones. Now, whether you get a blade or a blunt weapon is totally up to whether you're more proficient in said blade or blunt skill and tie goes to the blunt.
Also, destruction spells such as fire, frost or lightning will hurt the wisps. I generally try to use touch spells, as I hit my target more often if they're in touch range. However, the wisp uses some pretty devastating touch spells of its own, which absorbs health from you and damages your intelligence and willpower.
So, some advice:
I play on a fairly low setting anyway. Why? Because I play a game for its story content, not to see how tough I can make it on myself. So, if you normally like to play on higher settings, try lowering it if the wisps are killing you. Then just crank it back up. I'd almost recommend the "Kill" command in the console if you play on a computer, but that's just not fair.
I generally like to play a sneak-thief type character who wears light armor. If you have a pair of light boots enchanted with water walking, use them to run out onto the water. Then you can see the ripples as the wisp chases you after it goes invisible. The Silt Runner's boots are good for this. They're a pair of Mithril boots enchanted with water walking. There's some heavy boots that do the same for heavy armor wearers, but I can't remember the name of them. Anyway, they're found in random loot or on bandit ringleaders. I got my latest pair from Kurdan gro Dragol, the usurer who tricks you into his 'hunting' game. You can also enchant your own if you have a water walking spell, a pair of boots and a filled soul gem. The size of the soul gem doesn't matter, as the enchantment is constant.
Next, obtain an enchanted sword of some kind. Something with fire, frost or lightning will work best. Or else use a mage staff. Or your own destruction magic. Or a combination of destruction magic/enchanted weapon. As with the boots, you can enchant your own weapon, to be sure you have the enchantment you want.
Now, as a sneak-type, when I reach lvl 10, when these nasties start showing up, I'll sneak through dungeons/caves/ruins where I'm sure I'll encounter them. I'll carry an enchanted (or bound) bow and enchanted arrows. If I can find an arrow with soul trap and some empty common soul gems, all the better. I can snipe-shoot them and use their souls to recharge the bow. Arrow of Voltage and Arrow of the Dynamo will both come with a five second soul trap on them IF you have Shivering Isles installed. Otherwise, if you want a weapon with soul trap and you haven't found one, then enchant it yourself. I'd recommend using a grand soul gem filled with a grand soul for enchanted weapons. Or else go on with the main quest and start closing Oblivion gates to get the sigil stones. If you're at level 17 or higher, you'll get the strongest enchantment from those.
The best way to get the enchantment you want is to save your game just before you grab it, and then check it when it's put in your inventory. If it's an enchantment you don't want, reload your save and try again. The stone is always random, so you might get a different one.
Or if you're on the computer, add in a mod that lets you choose which stone you want. It's called Sigil Stone Selector and it works on almost all of the gates, except the one at Kvatch, the one that you help Burd close at Bruma, the one you get at the Cheydinhal gate when you do The Wayward Knight and the Great Gate at Bruma. On all other gates, you can choose your sigil stone. It's made my game much easier, and if you want to call me a cheater, go ahead. It's much easier to choose my stone rather than to reload a save a dozen times before getting a stone I like. Personally, I like to enchant my weapons, armor, clothing and jewelry with sigil stones even though you only get one enchantment. It's still a very strong enchantment.
Okay, I got off the subject of the wisp, but that's okay. This strip is called Musings for a reason. I never just muse over one thing per post, I always muse over many things. The wisp is not invulnerable, but it is tough. Try using sneak-bow sniper attacks on it to get it in one shot. I've even done that out in the open world along the road, as long as you don't get too close (where it spots you) and you know your limits with the bow.
Yeah, I do play heavy armor-hitters and just carry some primrose leaves and alkanet flowers to munch once I'm done with the wisp. That will restore your willpower and intelligence each time. Still, backing away when you see it about to use its magic will help a lot (it changes color and you hear a gurgling sound when it's happening. Then rush in and whack away again before it can heal itself too much. Better yet, it'll chase you anyway, so just keep backing away and whack at it when it gets in range.
Personally, the unicorn in Harcane Grove is probably the toughest thing out there, if you decide to kill it for Hircine's quest. I personally like to catch it and ride it around sometimes. Anywho, I just felt like rambling about the wisps, cause I watched a video of one who was showing us how to kill them, and they were so dumb that they had no idea where the unmarked road was that would have led them straight to Azura's shrine. So they were trying to force Prior Maborel's paint horse to go up the side of the mountain when it clearly couldn't. Poor horse. Its owner was dead and its new owner was abusing it.