If you just started, go out the south gate at Chorrol and go left to Crumbling Mine to pick up some loot including some armor and stuff. At level 3 you can go to Rockmilk Cave N of Leyawiin if you go stealthy and take your time. Get some silver arrows ASAP to take on the next level of ghost/magic type characters.
If you have the gold you can find armor at the various shops in the cities.
I have always played as a Breton Stealth Archer. I don’t like the up close and personal stuff. My girls prefer to kill things at long range with enchanted bows and arrows, some with poison on then. Cuts out all that sweaty slug fest fighting.
Went to Shivering Isle once, but didn’t stay too long - just looked around and did a few things. I prefer wandering around in Cyrodil, closing Oblivion Gates and just exploring Cyrodiil.