There's another thread about what order you do your quests in and I was wondering what do you do when you first start a new character?

Obviously you have no choice in escaping Helgen but what do you do for the next few days before you kill your first dragon?

I used to go straight to Riverwood get the "golden claw" mission, help out Faendel with his love life, go to Embershard Mine, then head up to Bleak Falls Barrow. Once that was completed I would clear out another unmarked bandit camp above Riverwood and then head off to Whiterun in hope of getting there in time to help kill a giant. In whiterun I would join the Companions, see the Jarl, speak to a Redguard about his sword and get a couple of jobs to kill some bandit leaders before speaking to the Whiterun court mage and starting the whole killing a dragon section of the game.

Now of course I do things a little different. I still go to Riverwood and enlist the help of Faendel, go to Embershard and clear the unmarked bandit camp, but I also clear out the other unmarked camp as you come out of Helgen and walk a bit around the shores of Ilinalta Lake, before heading off to Whiterun. I leave the Companions for a bit later now, although I've just started a new play through and haven't left Riverwood yet so I may try and complete the companions before going up to Bleak Falls Barrow.

I do completely different things, but I usually head to whiterun after some rest in river wood.

Nevermind, you mentioned it already

Similar but not what I was really asking about - as I mentioned yours was about what order you did the first set of major quests - not about getting to whiterun - I was curious if people did the same things to get there, role play it for each character or "cheat" and grab stuff they knew was there before going?

Recently, I have been putting off the Dragon attacks until I'm high leveled such as level 35-50. At that point though, I am fighting Ancients.

I usually go with Hadvar when I leave Helgen, so I talk with his uncle who redirects me to Whiterun. I try to help the companions fight the giant and then take the carriage to dawnstar where I raid the invisible chest. I then go back to Whiterun and complete the companions quest. I don't really do much of the riverwood quests except for the golden claw.