When I played Oblivion, I was blown away. It is the first game I played where I felt that I was "in" the game, so I role played and built up to the main quest. I held on the the Amulet of Kings for a long time. Matter of fact I played Oblivion for about 6 months before starting the main quest, looking back I wish I had not started even then. The main quest was a little dissapointing. The ending was pretty good, but the journey did not live up to the world of Oblivion itself. After the main quest I printed out a blank map (one with just the major cities) of Oblivion then when through and marked all the locations that I visitied. That made the game for me about discovery. I also had a sense of accomplishment after seeing my map marked up.
So my plan for Skyrim is going to be much the same. Print a map, mark locations, mark landmarks, etc...May not start the main quest until ..well for a long time.
Anyone else mark their own map? Start the main quest late in teh game?