I wish I knew to not try everything at once. If anything, try to be as specialized as possible per character, that way you can get the most fun out of each playthrough and it will vastly increase replayability.
That's exactly what I'm doing. My goal is to split the game up into thirds. My first run-through (just finished) was a (mostly pure) Thief, so I did the Thieves Guild, Dark Brotherhood, and Stormcloak quest lines. Started a Warrior last night who will do The Companions and Imperial quest lines, and finally a Mage who just has the College of Winterhold quests.
I'm also keeping track of what side-quests I complete on each character so I don't repeat them.
I figure by the time I'm done I will have experienced close to 100% of the game. Talk about getting your $60's worth out of a game!
PS: This is a great thread. I hope there's a lot more good info to come!