I'm quite pleased at my history with the game actually. I started with lots of studied and carefully built (ok, uber) characters that did everything pretty well and accomplished all the quests in the game. That gave me a great background in how all the skills worked and how each quest and questline turned out. Efficient leveling, spell stacking, all of it.
Then I got into RP. By knowing the game well, I found I didn't mind if my character had flaws, weaknesses and refused to do many of the quests. Anyway going the uber/do everything/memorize UESPwiki route first worked very well for me; at this point, RP'ing is simply a blast that never gets old.
If you are at the point of 'what to do next', consider a new character and some serious RP maybe?
My current character is a no melee archer. Since there is no real archer's guild, she is a loyal member of the guild of mages and that has worked out real well for her. Magic helps compensate for her many weaknesses. She's no hero, so the MQ and KOTN are out. She happily kills, but only for her own purposes so the DB is out. She won't touch a melee weapon so the FG is out she figures. As easy as it is for a mage to make money (enchanting and potions) she sees no reason to steal stuff so she doesn't have much interest in the TG. She sure loves exploring and traveling though. She also is fairly quick to help her friends. Oh she did Sheo's Shrine quest and is quite ashamed of herself for it - she will never lift a finger to help him again - she finds SI interesting, but frankly would love to see someone kick Sheo's butt. Lol.