Im a first time player of Skyrim and was pretty shocked to find mods that tweak every aspect of the game, but I never played it before, so not sure If I should jump head first into mods and try to install everything or if I should get used to vanilla first, im a bit worried it will get a overwhelming/confusing when I dont know much about the game itself.

Play the vanilla first, at last the main quest of it. Main point being to actually find out what you don't like about a vanilla and also get an idea if two mods would change the same aspect and you shouldn't use both in that case.

Install Unofficial Patches and SkyUI. Being first time player is no excuse to leave those out.

Yeah, if you've not played before, start playing and once you've got a feel for the game and know what you'd like to change or add, start adding mods at that stage.

The one exception I'd make would be to add the Unofficial Skyrim Patch immediately - http://www.nexusmods.com/skyrim/mods/19 (plus the Unofficial Patches for the DLC if you have them - links for those can be found on the description page for the USKP at the Nexus).

Modding is great, and I could never play an unmodded Skyrim again, but watch out for a few things -

1) Never remove a mod and continue the same savegame (data from mods gets embedded in your game and bad things will happen if you remove a mod and continue the same save). If you want to remove a mod, you need to revert to a save from before you first installed that mod, or start a new game.

2) Don't add a load of mods at once (partly for the reasons above, partly to test game stability and compatibility). Add mods one at a time, play for several hours or until you've experienced its features to make sure you're happy before adding another one.

3) Load order is very important. Download and use BOSS to make sure your mods load in the correct order to prevent game crashes and mod incompatibilites.

4) Always read the mod readme/description. Pay attention to special install instructions and any other required mods.

Yes you should! Mods are a huge game-changer , especially for BGS games, because there are a lot of quality mods out there.

That said, yeah, for the most part you should give vanilla a go first, and get an idea for a what you like and what you feel the game lacks. (Though if you experiment with mods, you'll find ones that you love that you didn't think you would.)

When you first start modding, you should start slow. You can run a huge mod list without significant CTDs, but only if you're very careful with installation and reading docs. It can get complicated. If you jump into that right away, you'll end up hating Skyrim and modding.

Before you start modding, you should check out gopher's vids. Here's a few that might be helpful:

http://www.youtube.com/watch?v=RxQ1JN_X-_Y (watch all in this series)

http://www.youtube.com/watch?v=xTGnQIiNVqA

http://www.youtube.com/watch?v=t6MxLBcSgkc

In terms of mods you might consider before finishing your first playthrough (though give pure vanilla at least a dozen hours or so):

http://www.nexusmods.com/skyrim/mods/3863/? (I won't play Skyrim without this)

http://skse.silverlock.org/(provides more sophisticated scripting capabilities to other mods)

http://www.nexusmods.com/skyrim/mods/19/? (and search for the unofficial patches for all of your DLC and the hi-res texture pack)

http://www.nexusmods.com/skyrim/mods/3222/? gets the menus out of your way, except when you need them

If you have a powerful GPU with 3GB+ of VRAM, I'd also consider the http://www.nexusmods.com/skyrim/mods/20801/? (or your own selection of HD textures). TPC provides a list and a utility to mix and match around 100 texture replacer mods, which you have to download yourself. But you may want to start simpler, or wait until you've finished a playthrough before doing this (depends on your hardware and general computer experience).

And after you've tried out vanilla, come back and ask for more recommendations.