I plan to play a heavy-armour, one hand/ shield character if that helps.
This is always handy to read: http://www.uesp.net/wiki/Differences_Between_Morrowind,_Oblivion,_and_Skyrim
It shows some of the gameplay basics, and how they function compared to the other TES games.
And it's a good idea to make a save file (and keep it as back-up) right before you leave the tutorial dungeon. That way you can restart there, and make any changes to your build, if you decide early on that you made a mistake.
TES 4's world features a leveling system that might seem a little strange to you. Some people don't have any problems with it, others (like me) were distracted by it. Any Major Skill which your character uses constantly is going to make the game-world level up. There are 7 Major skills, which you can set to your liking. The rest of the skills (22 I think) are going to be Minor skills. They level up as they are used, but they won't influence the way the game-world itself levels up.
What this means: I have noticed in Fallout 3 new creatures & enemies show up as the character gets stronger. In Oblviion, this is even more drastic, in the sense that a weaker enemy you may have seen last week might no longer be around the next week, as it'll get replaced once your level passes a certain number by a stronger enemies. This isn't entirely set-in-stone, but it's something I personally disliked about Cyrodiil's environment.
Other than that, my complaints have been few and rare, right guys and gals?
I'm not sure if you're on console or PC. On PC, you can change the way the games levels to your liking. On consoles, you can merely select Majors that won't get used very often (if at all) to influence things.