The game starts with a cut scene. You are dragged from your dank cell through the prison to the place of execution. You're taken to the market square in the starting town (Riverwood?) where a baying mob await your execution for illegally crossing over the border from Vvardenfell (this will figure into later quests, with the stuff about Dunmer settlements etc). The executioner prepares to put the hood over your head and this is the point where you choose your race.
The hood goes over your head and you hear (but do not see) a fight break out. The screen shakes and the next thing you see as your head clears is the face of Esbern who has rescued you. You have a conversation with him and he gives you some backstory about Dragonborn etc. He gives you some basic equipment and a small amount of gold and sends you on your way to the first quest giver, telling you to prepare for the challenges ahead by doing a few small quests, get some experience etc. You then have a few easy quests in that first town - collect this, kill some wolves for pelts, clear out a bandit cave etc.
You can probably tell that I prefer the 'gradual reveal' that we had in Morrowind, where Caius doesn't immediately send you off on the Nerevarine quests, but tells you to get some experience first