I actually totally agree with this.
My thoughts, or at least hopes for how Skyrim will begin is basically this: You're being lead to your execution when suddenly a dragon attacks, you're fast enough to dive into the bushes, but the guards aren't so lucky and get roasted. You're in the middle of nowhere, Riverwood just on the horizon. You get there, and immediately get to know about the civil war. I hope the main quest starts you off doing stuff in the civil war, then slowly leading into the dragon plot-line. This introduces you to Dragons in a really cool way, leaving you wanting more, but still has the slow Morrowind start. I believe it's the middle ground between Oblivion and Morrowind, and the best of both worlds.
Yes, it would be great.
I hope to see something like that, so that you were on your own, stumbling to the initiative quests of the main quests on your own, when you are drawn into the civil war, and tribal conflicts, or you manage to find and climb those steps up to the throat of the world.
But if you manage to avoid all that intrigue, then after a few levels or after some events, you could be approached mysteriously and would be talked by a person that would initiate your pilgrimage to the thousands steps ramp up the throat of the world.
Or you could kill or avoid that messenger and be on your own indefinitely and when you feel like it, you can find and climb to the sacred place yourself and start the main quest.
Edit: By the way we now have random events, so some of those
seemingly random might be that ones that have the potential to trigger the start of main quest-line, and initiate your pilgrimage to the throat of the world.