It's a balancing act.
I mean, in the interest of realism, a lot of the suggestions in this thread would be good, but I've got a life and a family so I simply don't have 250 hours to throw into a game if 100 hours are going to be spent as shoe leather. On the other hand, the way that Oblivion dealt with objectives (look, there's the arrow that must represent the long lost sword of x that no one's seen in a thousand years!) did tip the balance too far in the "expediency" direction. I don't mind exploring and looking around for things, but I do mind looking for something that would need a 30 person search party with five corpse sniffing dogs and two psychics (unless you could hire that group in Skyrim).
As for level scaling. That is something that needs to be fixed. It's lazy and I can't imagine why someone would continue to be a highwayman if they happened to have some of the best equipment in the game and the ability to use it.
In that same vein, something else that needs adjusting is the mechanics of levelling. In a way, you're actually penalized for choosing a skill that's useful to your craft as a major skill. Because the "quality" of each individual level is determined by your minor skill performance, it's possible to actually become weaker relative to the world as you level up, if you've chosen your major skills "incorrectly". It seems odd that if you were to want a blade-based character to be strong in the endgame, you'll definitely want to avoid blade as a major skill. People should want to level, not fear it... or decide that you need to visit your accountant prior to each levelling point to make sure your minor skill portfolio is strong enough.
I completely agree: leveling needs a fix, though I don't know how they would do it.
Also let me clear up my idea as it seems some people aren't hearing me out with the 50/50 style enemy leveling.
Only CERTAIN monsters would scale with your level. A large portion of monsters would be set, but a select few of the stronger baddies would scale with you. Random Bandit Jim will still be level 3 but Daedra Lord will always be tougher than your current level. TBH a group of Daedra lords isnt as cool as fighting a stronger one. There is also a point where your level is irrelevant and you do enough damage to ignore the fact that Daedra Lords/Super Tough Baddies/Etc... are scaled and that seems to be the point everyone is talking about when they mean "kill anything I want." The enemies ARE always there, even the level scaled ones, but a select few are scaled to be tough.
The fast travel option: Yes I realize no one has to use anything, but Bethesda seems to build their game around the style of travel in the game. Fallout 3 didn't have that crazy of travel distance, despite having to travel all the way to Rivet City on the other side of the map before I had any exploration points there. I could see this being done in Skyrim due to its smaller size than Cyrodiil. Fast travel, as I've been saying, should be once a point is explored, you can now fast travel to it (the main thing being CITIES. The only things in Oblivion you didn't have to travel to in order to ft there). Also, for those not using fast travel, this idea is new: A return of the Silt Strider for more immersion. Instead of having to walk everywhere we could take one of these around towns or to other towns, but not always directly to our destination, sometimes a little ways away.
Final point I've been talking about:
The quest marker would be a general area. Think Bruma sized faded red circle or something. You have an idea as to where something is but not the exact spot. Even a larger point would do. The quest directions from the NPC would also aid you if something was said about "a tree that was burned out." Finding a location wouldn't be too much of an issue but you would still have to search a bit. Also, if Bethesda could, another compromise (adding to this) would be a toggle on/off for the location circle, but that would require quest directions to be pretty good.