Morrowing: First thing I did was run off into the wilderness. I died almost immediately.
Oblivion: Also ran across country. This was a cake walk though compared to Morrowind.
Skyrim: I've learned my lesson. I'm going to savor everything and go as slowly as possible. I want there to still be this sense of wonder as I play the game later instead of spoiling everything on the first day because I just have to see everything or at least as much as possible. I don't think i'll touch the main quest for awhile either.
How will you guys play?