As to the Vampire question, just save before you do and give it a try. Personally, to maximize the game experience, I try to stick to a certain plan with each character though. For example, the char I am playing right now is a Thief. So she only uses bows, travels alone (no companion), joined the thieves guild and is focused on earning money and going through the Thieves guild quest line. I plan to roll a new character after I'm tired of this one and it will be an evil mage who joins the dark brotherhood and learns alchemy and will probably end up a vampire.
You can play however you want, but for me, to maximize how much I get out of the game, I am picking a story and sticking to it. Whatever character I end up loving the most is the one I will finish the main quest with. And when the mods start coming out after the Creation Kit is released, I will be ready for more adventures!