For myself personally, I can only RP a single character at a time. But I have played many characters overall. I guess you could say I practice serial monogamy.
I guess it's polygamy here, because I always have three or four active characters going, along with several "semi-retired" characters who have basically accomplished what they set out to do. None of my characters do "everything."
I use an alternate-start mod which allows me to control where the character enters the world, and that allows me to launch the character in a unique fashion right from the beginning. Most of my characters have never seen the Emperor, never heard of the Blades, and never will see an Oblivion Gate. Since I don't run two similar characters at the same time, there's really no confusion about who has done what.
Just as an example, I currently have:
A Bosmer who arrived in Cyrodiil as a stowaway on a Pirate ship, and who is in the Thieves Guild...
A Nord mercenary who was shipwrecked north of Anvil, and who has become caught up in the Knights of the Nine quest...
An Altmer conjurer/illusionist who has recently become archmage of the Mages Guild...
A Redguard who is disillusioned with the Fighters Guild, and who is making a living collecting and selling artifacts...
A Breton who is caught in an ethical dilemma in the Shivering Isles...