I got this from gamefaqs but I can't find the tip on there anymore so I'm making it here but I'm not sure if this has been posted here.

If you're having slowdown problems or even freezes with item and save menus, the the oblivion IV title screen, and loads - all you have to do is clear your cache.

Oblivion saves memory of places you've visted so that when you return to these places they load faster. But sometimes while saving or loading this data, a glitch or bug occurs (Which is why you shouldn't shutdown in the middle of gameplay. You should always quit to the title screen and then shutdown. Though if your game freezes during gameplay there's nothing to do but restart the console.) and a gap is created in the cache memory. Thus you have long load times entering areas, loading up menus, bringing up conversations and such.

To fix the slowdowns, all you have to do is clear Oblivion's cache. The only way to do this is turn on your xbox 360, insert the disc, close the tray, and as soon as you see a black screen press and hold the A button until the first bethesda logo pops up. There, all done! :D

Now the Oblivion title screen will load up faster as well as everything else you were having slowdown problems with.

Don't worry about clearing your cache. It will not erase any useful data. Conversations you had will not be highlighted again. Everything will be where you last left it. It will not delete nor corrupt your saves. Anytime you build up slowdowns (and you will in time if you're not careful and take precautions) in Oblivion, use the clear cache method.