I'm not sure if the Knights of the Nine breaks a trainer, because I haven't used one with Oblivion. If you are playing on PC, you can easily make yourself practically invulnerable if you want just by using the "`" key to enter the cheat mode, then entering - player.additem xxxxxx xx where the first set of x's is the item number, and the second set is the number of items.
You can give yourself a bow of fire, and some super arrows, and kill most everything in the game outright in one hit if you do it by stealth and from a distance.
If you want to improve your magic, I assume that you will do the mages guild, and once you have access to the arcane university, you can make spells that take like 1-4 mana and cast them over and over until you increase your skills to whatever level you want.
If you want alchemy, choose two simple items like food items and give yourself 1000 of each, it does not matter if you are over burdened, you don't need to move. Make 100 elixirs at a time, and drop them, you can be a master in about 5 minutes after making 1000 potions. If you are in a potions store, don't move, but sell them every now and then and you will have a good basis of cash to start with...
or just summon 1000 perfect diamonds and you have more cash than you will need.
All of these things can be done over time as well... while playing the game and NOT using the cheat button. The fun is in the journey... I just played thru Oblivion again, with just a few lockpick summonings in about 60 hours of play. Really, it can be done - send me a private message if you want any tips about building a character or whatever for a clean game with no cheats.