Whenever I get to a town for example, I'm going to make it my home for a few levels. Get to know the locals, culture, do some side-quests, explore the countryside, etc. When I head out of town, I want my character to be perceptibly different than when he got to that town.
The same with any settlements I find, although obviously to a lesser extent; I want to make them my hub for a few days, returning there after exploration to cook, eat, sleep, repair, etc.
I ruined all immersion in Oblivion by playing it like an action game the first time around, and by the time I figured out how to play it, the magic of original discovery was lost. I think I'm going to enjoy Skyrim a lot more for this reason alone.