I liked the immersion, but 90% of the time is spent running around the countryside looking for things. Then when you are in the city, you have to talk to Avennici for your bounty (or whateever). All the points of interest are so far apart, it takes too much time. Then when you are outside going in, you have to walk all the way around to the front gate. Just a very time consuming city. It was amazing at first, but gameplay has really slowed down since moving there. Many of the big quests are not even in Whiterun.
I am level 9 and have the house in whiterun. Its feeling less like an RPG and more like the Sims.