FIRST! in order to take screenshots you must edit your Oblivion.ini which is in your Oblivion folder. here is a guide on how to edit you Oblivion.ini.

Obviously to take a screenshot you need to hit the 'print screen' button or have a program like fraps. Also it helps to know some cheats, essential mods.

These are some of the basic cheats (console commands, just hit this button:~, then the cheat) that help with screen shooting. 
tcl: this makes it so you can get close to companions or NPCs, helps you character walk through walls, and make items float in the air.
tfc: allows you to move the camera around without moving your character, you need to be in third person for it to work properly sometimes.
tm: this command allows you to toggle your menu on or off.
tai: this command freezes all NPCs in place, typing 'tai' again will unfreeze them.
disable: very important to save before using this command, this is a neat way to remove items. After hitting this key:~ click on an object like a table or sign you don't want inn your picture and type 'disable'. I don't use this often but sometimes when I take screen shots in a chapel I like to disable some of the pews. 
showracemenu: also save before using this one, this command allows you to change your characters appearance. 
FOV: Field of vision does what it says; this just changes the field of vision on your screen, type a number after FOV (I usually type 45 default is 75) play around with it. Using this command with screenshots can make larger images (:. Note that in third person, using field of vision you sill need to keep your console open so you will need to type dof 1 to disable your console, and dof 0 to see it again. 

Mods that are essential for taking screenshot are mods like Screenshooters Illumination (provide light for screenshots), and Grab Live NPC (allows you to grab and npc or monster with the z button, so you can move them around or freeze their expression or pose). Of course there are clothing and location mods that are nice, but those are all personal preference I think, so I wont recommend any. 

For my screenshots I like areas that match my character's personality as well as the armor they are wearing. My main character is easy to take screenshots of because her personality is complex; she can be an assassin or a socialite. My character Nora on the other hand is a little more difficult, she is a thief so when I take screen shots of her I like her to be in a little more run-down looking areas waring simple armors that fit a thief. 

What if you screenshots don't look that great? It helps to have max settings and/or Photoshop for post-work. Personally-- I have the self-shadows option enabled, I use AA through my video card settings, not my Oblivion. I also switch between HDR and bloom depending on the day. Recently I have been using bloom over HDR. It's all personal preference, and I rarely edit my images unless to fix seams or adjust colors. I enjoy post-work on images, and I will do a lot on some images, but some images look okay to me un-edited. So photoshop is defiantly not a necessity to make you images look good just personal preference. Most screen-shots look good in my opinion, but some people prefer ones with post-work some people prefer ones without any post-work; it's all up to you.