I used to have systematic crash on exit after installing/removing/tweaking mods for a few months.
I went through the pain of doing a clean install, with only the mods I found absolutely necessary, and used OBMM along the way to keep things clean. A good load order is vital to avoid crashes (for example, Knights of the Nine is known to cause crashes when loaded before OOO).
I am back to what I had before installing mods – crash on exit only after a few hours of play.
I still have random crash to the desktop though.
In both cases, I have come to believe it must be memory / hard drive related.
That is – Oblivion crashes if it takes too long to load resources in-game (textures, meshes from mods…) or if you quit the game while resources are still being loaded in the background.
Defragmenting the oblivion and system drives aggressively helps a lot (I am using Diskeeper with a lot of success in that respect). Keeping background tasks to a strict minimum helps too (virus / spyware scans tend to impact loading files in-game).
Another way to help reduce crashes is to get attuned to the beat of your hard drives. If the game stutters or HDs are busy loading, slow down on running in-game, and let resources load fully before moving on to a new area.
When quitting the game, wait until HD activity comes to a minimum.
These tips seem to work for me to make playing the game with mods activated more enjoyable.