Is it an adventure like Alice in Wonderland from a million perspectives? Or is it a prison of ultimate boredom?

Why would Lorkhan think mortals would want to reach Amaranth? Why should they?

Well, Anu became an Amaranth because he couldn't cope with the loss of Nir. He gathered up his memories of his time with her (the "twelve worlds"), hid in the sun, and started dreaming of a world where she wasn't dead. (That's why Nirn is said to be composed from the remains of the twelve worlds - when you dream, you grab a bunch of stuff from your waking life and smush it together in ways that might not be entirely logical.)

Anu's memories become the notes for The Song that is Nirn. His Love for Nir keeps him from coping with the "real world" (or at least, the one he was born into) so he surrounds himself with memories and song and drowns out all external stimuli.

So to answer the question at hand, it's probably not that great. It seems to be triggered by heartbreak and the desire to keep something you Love alive - by creating an entirely new universe.

Lorkhan is the dream version of Padomay. Lorkhan saw the Tower I, realized that his purpose was to serve as the antagonist, and then? Maybe he felt guilty (which lead to him creating Nirn in tribute to Nir) or maybe he thought this new world of Anu's creation was imperfect (he hadn't asked to be the villain - he was created to serve the role, and thus realized et'ada lack a certain degree of free will) and wanted to create a way to escape from it.

I doubt that it is anything fun.

I imagine it'd be like a game that you've completed 100%, with cheats.

Nothing to do, and nothing acomplished.