This is not the thing your going to spend most of your time doing, or what your going to do first, but what you most look forward to doing.
1. Dungeon crawling: Self explanatory, exploring and clearing our caves.
2. Thieving: This could be for the thief’s guild (or Skyrim equivalent) or on your own for the fun of it or money. Basically stealing things from people.
3. Factions: This is joining factions and becoming engrossed in the narrative of each faction.
4. Main Quest: Again quite self explanatory, do you look forward to experiencing the main quest more than anything else.
5. Getting to know the population: This is if you are hoping the AI is vastly improved so that you can get to know all the interesting people of Skyrim.
6. Exploration: Are you most looking forward to exploring the world of Skyrim.
7. Other: If I've missed something off this list that you are looking forward to.
My vote goes towards Thieving. I have always loved playing a thief character in TES games. I'll probably spend most of my time in cities staking out large houses and taking what I want from them at night.