I definitely run about everywhere, although I do walk inside buildings. I'm not patient enough to walk long distances; I run constantly. I even sprint when I'm traveling; I'll sprint until my endurance is down to about 30% and then run while it recharges.
If you're referring to a general attitude to playing the game, though, I don't go straight for the main storyline quests myself because the side quests are very good.
In Mass Effect, I played side missions until I decided they were crap, then I concentrated on the excellent main story missions. In Mass Effect 2 they learned from criticism and now the side missions are great too, so I'm trying to do all those as well. In Oblivion I did tons of side quests until I decided I needed to see how the story turned out, and finished the main story missions (around level 30 or so).