I think Skyrim does an excellent job of presenting you with a situation and leaving it up to you weather or not you buy into the mythology. It definitely does NOT throw you into the hero role. After meeting with the grey beards, i think they pretty much leave it up to you to either follow the calling or go do your own thing. Nothing is presented as absolute truths, only that you have a rare skill and that these old men think your special.
I will say that Oblivion was bad in this regard though, i had to completely break immersion to start side questing at first. The lull in that story doesnt happen until much later.