I tend to finish a given character's story (or run into bugs or get bored of being OP) by about the high thirties/low forties. My current character, I'm trying it a different way round. My plan is for her to do the MQ for base game and both main DLCs, CW (Stormcloak) plus CoW, at least some of the Companions (I suspect she may not become a full member, so to speak), and possibly Dark Brotherhood (can't decide, wasn't going to at first but I think her wife - Jenassa - is kind of rubbing off on her a bit). But she's currently somewhere in the mid 30s and has only done the Way of the Voice part of the MQ (i.e. first visit to Greybeards), Under Saarthal for the CoW, is just setting off to Fort Dawnguard after a bunch of vampires attacked HER CITY (she's the Thane of the Rift and a resident) and killed that nice Aerin chap, and is still doing radiant quests for the Companions (modded so you get a bunch of them before your Trial), oh, and the CW is up to just after the Battle for Whiterun as it all seemed a bit urgent and I couldn't really justify RP-wise her not pretty much getting on with the Jagged Crown and then the Battle.
Instead she's been wandering around, visiting Solstheim (but I've got that modded too so the Dragonborn MQ doesn't start until after the Horn of JW) doing side quests, becoming a Thane, fighting various animals, monsters and Thalmor gits, and most of all exploring. I've not completely banned myself from fast travel, but I'm trying to minimise it (I did quite a bit around level 30 and started to get bored so I'm cutting it back a lot again) so I keep finding interesting places I've never seen before. I'm also using iHUD so there's a lot less 'point self in direction of arrow, RUN!' I'm *really* enjoying myself, although I'm taking a break at the moment to play ESO.
(I think I probably picked this idea up off someone here, no idea who, but if you're reading this and have posted about playing this way, THANK YOU!)