As the title says, when you're first set loose in Skyrim, where will you go and how will you get there? Will you follow the main quest or just go off exploring? What I plan on doing is heading to the eastern border and seeing what kind of things there are along it. I'm expecting Dwemer ruins and maybe some small Argonian settlements. I also want to see how the volcanic tundra looks. After that I plan on following the northern coast until I get to Solitude, and only after that will I go exploring central Skyrim and maybe think about starting the main quest.
Step 1 - go to nearest civilized settlement with an armorer
Step 2 - buy as much armor, wepons and spells as I can afford
Step 3 - look for nearest dungeon
Step 4 - explore and loot it
Step 5 - repeat steps 2-4 until I have all the best stuff regular traders offer
Step 6 - proceed to first MQ objective