The Elder Scrolls IV: Oblivion Tips

The many ways of breaking out of jail
1) Perhaps the simplest of methods, you can pickpocket the guard of his keys that most jails have patrolling (by crouching and hitting "X" when you point at him). You can use the keys to unlock the cell, and make a run for it! (If you are caught pickpocketing, he will open the cell to kill you and you can still escape around him).
2) If you had any before the arrest, you will still have 1 lockpick. You can use this pick on the lock of the gate, however this is perhaps the hardest method since if it breaks you are hopeless. (The "SQUARE + X" at the same time method may work well here.)
3) Good behavior. If you sit on the small stool or chair provided for long enough, the guard just may just let you out.
4) If you chose the astrological sign of "The Tower", you can use the skill "Tower Key" to unlock the cell door. This may be preferred since it only unlocks the cell and the guard will not notice until you actually open it. Note that this will only work if the cell lock is "Average" or less. Most are.
5) If there is another person in the cell with you, if you punch him and start a fight the gaurd will come in to kill you both. Run around the guard and make your getaway. (Whether or not there is another person is set, meaning that if there isn't anyone one time you go to jail in a town, there never will be and if you go to jail and there IS one, he will be there evey time.)
6) Of course, the normal method of sleeping on the bed provided works too, but is not really a jail break.
You can combine any these methods for an even cleaner getaway. For example: if you steal the keys and escape that way, you can save your 1-time cast of "Tower Key" to unlock the Evidence chest and reclaim what you had before the lockup.