The Elder Scrolls IV: Oblivion Tips

Keep the boots of Springheel Jak
On the last Theives Guild quest, when you jump down the flue to the "Old Way" don't be wearing your boot of Springheel Jak. If you have moderate health you should survive. Even if you're hurt a lot, it doesn't matter because there aren't any/many enemies nearby, so you can just wait an hour to restore health.