First I would like to say is, RELAX. This is a game, and it is designed for us to have huge ammounts of fun and immersion, it is designed so we can have a new whole life
So, STOP trying to find the ultimate formula, the ultimate kind of how should we play, because the point of this game is not to have it!
You will see that there is nothing more rewarding than discover the things at your own pace, and there is always the reroll option. Just go there and start playing!
So this is not a topic to discuss what is the best thing, just to share how everyone is doing and maybe find things that would be interesting for all of us

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About my own gameplay;
In oblivion i had the obsession to do all the random minor stuff first, then switch to main stuff, but then i realized that this is a game of discovery, of travels, of freedom, so I started a very realistic gameplay, i tried to swap my character's mind with mine, and then I constantly gamed as a i was living. in the game that meant, do things as a I really wanted to.
I find it very comfortably to do the things by the zones, that means, do all the quests and stuff that i need to in the order of zones, so i don't have to constantly travel all around the world (wich for me seems unrealistic) and instead, stay in one town and do what has to be done
about the character, the same thing. I find it boring to limit yourself, I have a nord warrior that likes to sneak in heavy armor, he likes to shoot with bow, and even sometimes he will burn you just for the fun of it.
Also what i think is really immersive and fun is to have a real life journal to write down the important stuff that u need to remember, really really funny and takes the game to a new level, to your own life xd
Hoping to see some interesting answers!