What's beautiful about Oblivion's character creation is that race doesn't determine proficiency in a certain field.
When it says Argonians are "good at picking locks" it means "If the player chooses to be an Argonian, he will start out with a higher Security skill than if he had chosen a different race."
If I wanted to make an axe-wielding Orsimer thief, with proper training he could steal the clothes off people's backs without them noticing. It may take a bit longer than if he had chosen a Wood Elf, but it will work in the end.
I hope they do this in Skyrim.