Play it the way you want. There is no right or wrong way to play a TES game, really.
The motto of the TES games, as said by Todd Howard, has always been "Live another life, in another world". So go and do just that. Think up a character and a role you would like to play in Skyrim or any TES game, and play it. Evil Knight to Holy Assassin, or the generic Holy Paladin, you can ply as whatever you want and however you want (especially on the PC :tongue:) and that's the beauty of it. It doesn't matter that you were never able to "beat" Oblivion, because TES games are never truly "beat" anyway, and if you don't want to "beat" it, you're not playing it wrong either!