My first time through a Bethesda game I make a "test character" to get the feel of the controls, gawk at the landscape, and to get a feel for things in general. I usually don't do many quests with these characters.
Next I make a "main quest character." This character does nothing but the main quest. In Elder Scrolls I make "guild characters" to go through guilds. In Fallout I make a "side quest" character to go through side quests.
When I feel I know the game pretty well, inside and out, I begin to make my first roleplaying characters.