I played on master for awhile, but the problem with master for me was it just encouraged me to play overly careful while also using a lot of cheesy tactics. NPC health levels are too high, and this limits you options considerably when it comes to building a character that can be reasonably effective.
Expert seems like considerably better experience, and actually I might move down again to adept.
In Skyrim, playing experience stops improving how fluidly you handle combat pretty early, and your characters stats end up being the most important factor in whether you survive most encounters of any significant difficulty. I feel like it's just not meant to be taken seriously or at least shouldn't be. I find myself, when playing on master or expert, focusing more on my character's build and trying to optimize his armor, resists, and health to avoid getting one or two shot, as well as trying to limit how far I level certain skills to kind of control the scaling so that my various spells/skills remain effective against level scaled enemies.
Moving the slider up from default really just ends up increasing tedium, rather than difficulty. I think a lot of people playing on master are doing themselves a disservice by focusing so much on the game's worst aspect - the combat. And I say this as someone who genuinely tried to play by a set of rules, use self control when it came to exploits/cheese, and create an appropriate balance of challenge and enjoyability. Skyrim's combat mechanics however, make sure it's basically one or the other. The majority of the time, you kill or get killed for all the wrong reasons, regardless of difficulty.