I'm so sick of "you're in prison" and the "you are being executed" is just more of the same. I'd rather we just got plopped in a forest or woke up in cave or in a little hand-made shelter.
I've never been in prison in real-life, why does my hero character have to be incarcerated?
What if I don't want my hero character to know how to build a shelter? Or what if I wanted him to have lost an arm while fighting in the civil war?
Even though this a very open-ended game, with many possibilities, there are still some restrictions. You have to be in Tamriel (specifically Skyrim, this time), you are 200 years after the end of Oblivion, you have to be one of the 10 playable races, you are dragonborn (though you can choose not to follow the path), and you start out in prison.
The other thing that "being led to your execution does" is allows for both the extremely good characters (wrongly accused, or political prisoner-type) and the extremely evil (mass murderers, or people who own spears) to start at the same spot. I could easily justify any back story as to why I am in prison.