When I started playing Oblivion I did the opposite. Maybe it was because the tutorial really kicks you into the main storyline or I don't know, but I started doing the main quest right away. Because I did this and because all the loot was levelled, All the rewards I got during the first part half of the mainquest svcked. And also, when I was done with the mainquest, I had already visited most of Cyrodiil so the exploration wasn't as fun.
The mainquest is usually fun no matter when you do it, so if you wait with it until you're finished exploring every little thing, it will still be fun. The small sidequest and exploration can sometimes (for me) feel trivial after having completed the mainquest.
For the reasons above, this time around, after I have done the tutorial, i will walk the opposite way of my first mainquest goal. Exploring the land of Skyrim and doing all the faction quests before ever starting the mainquest.
I'd like to hear how you guys will play the game and why. Maybe I'll get som ideas.