They can mess up your saved game or your Oblivion install as a whole if you are not careful and just install lots of mods to try at once. There is no way they can mess up your computer though (unless you download the mod from an unsafe source and you are not using an anti-virus… which can always happen each time you download anything from the web).
If you go slowly, create a test saved game, add mods one at a time and pay attention to your load order and archive invalidation of new textures and meshes, you should be fine.
It can look overwhelming at first, but it is actually fairly simple thanks to great tools such as OBMM and Wrye Bash. The help from this forum is also invaluable.