Face-down on a raft at sea. You see land in two directions, and you must choose which way to paddle. Nobody knows you when you make landfall. You must learn how to do things by talking to villagers. Nothing about major world events is immediately revealed to you; you must find out as you go along.
Just on a caravan heading into a small town. Nothing is explained to you and no main quest is shoved down your throat. I think it would be much cooler if you're just an ordinary person who shapes their own future and becomes a legend sort of thing.
While these are all good ideas and I'd love the next game to start that way, let's face it; they won't be happening. It seems Bethesda thinks people aren't smart emough for these things and need quests forced down their throats.
To be honest, I agree with Bethesda, some people are that stupid.