Well, after gathering a few items from the starting dungeon, my character will seek the nearest settlement, for a much needed drink and bath. If hunting and camping is required, that would just be more roleplay for my character. However, some good food, a stout drink, and a hot bath would probabliy sound pretty good to a person just getting out of a prison.

Since I don't know anything about Skyrim, I'll just follow my nose. :twirl:

Solitude is in support of the Empire, so I'm not going there off the bat.
Wherever the main quest takes me. First town on the way will do.