I just wandered around the wilderness for about three days, killing bandits and learning about plants and so on, in my first playthrough
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After that I did riverwood and whiterun, but then headed to Solitude because I wanted to be a bard.
Next time I will probably choose a starting point based on class, though I MAY head towards Whiterun as far as the carriage to get to where I'm going
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Winterhold to be a mage, and so on. It can be dangerous heading straight through the wilderness at a very low level, leveled enemies or no