The first thing I want to do in Skyrim is climb all the peeks and watch the sunset. I always tried to do this in Oblivion, but failed.
I climbed to the top of every mountain in Oblivion because I wanted to reach the top and leave behind a memento. I never did figure out which mountain was higher in Oblivion. I will climb to every peak in Skyrim - its tradition.
The other thing I would do is make a campfire in a snowy place. I did that in Oblivion with Welkynd Stones because torches werent lit when you dropped them in Oblivion and fire magic made everything explode off in different directions... you could make a campfire out of a NPC using paralyse and fire damage combined (it costs a lot of mana) but you can have a fire to warm you that stays lit for a couple of minutes at least... the NPC needs to be living to begin with.
If paintbrushes still work like they did in Oblivion I will use them to pave a tenuous road to Heaven. It took a lot of save and reloads in Oblivion to get there (I never survived the fall anyway) but it was worth it for the God-view. When I made it Id rain down fireballs on the world below....