I like to balance doing quests and exploring, because doing quests can be interesting, and certainly helps to give the player a sense of direction, but there's so much in the games to do that isn't part of a quest, and you miss out a lot if you do only quests. Sometimes, I also explore the regions that my quests take me to. As far as upgrading armor goes, it depends, I want my character to be well protected, that's the point of armor, after all, but I also want my character to look good, generally, at low levels I tend to focus more on protection, since at the time, you need it, and most of the low level armor you can find doesn't look very interesting anyway, when you start getting Daedric and ebony, though, a few points of armor protection isn't going to make that much difference anymore, and I start to pay more attention to apprearances, although especially in Morrowind where finding high level armor could be quite difficult, when I find say... a single piece of Daedric armor, it is often a matter I must debate whether I should where it now for the protection or wear something that goes better with my other armor for now and wait until I have more pieces, and things can get really difficult when you find artifacts, as these generally don't come in full sets, and it can be diffuclt to find armor that fits well with them. Of course, sometimes having mismatched armor can have its own appeal, which is one of the reasons why I liked Morrowind's larger number of armor slots, if I like the look of having different gauntlets on each hand or not wearing pauldrons, I can do just that. In general, though, I don't just upgrade as soon as I find a better piece of armor, I need to take into account both its function and its appearance, and decide whether I want to use it now or not.
Since when can you fast travel in dungeons?
You can't, you have to go to the exit, and leave the dungeon, though in Morrowind, you could, as the game featured divine and ALMSIVI intervention spells as well as mark and recall spells that could be cast even inside dungeons, the former two would instantly bring you back to the nearest Imperial Cult shrine or Tribunal Temple, respectively, whereas recall would teleport you back to the last location where you successfully cast mark, but in Oblivion, these spells were removesd, so there's no way to instantly leave dungeons and travel to some other place, though as noted, many dungeons have a secondary exit accessable from the end of the dungeon which will take you back to near the entrance, most likely, this is Bethesda's answer to players not wanting to trek back through the entire dungeon they just explored now that they can't just teleport out.
I'm glad Cyrodiil isn't all jungle. With Skyrim in the north (being mountainous and probably mostly snowy) and Hammerfell to the northwest (desert, or at least dry and grasslandy), I think it makes sense for Cyrodiil to be a temperate region, rather than having extreme climate changes occur when crossing the border.
Regardless of logic, the lore says Cyrodiil should be jungle, Bethesda shouldn't change this without a logical explanation for this, and no, the "explanation" they give is not a logical explanation, it's what TV Tropes calls a handwave, and besides, if you're going to go changing things in the world, then at least make it better in doing so, turning Cyrodiil into Generic Faux-Medieval Fantasy Land doesn't make it better, it makes it more boring. And it didn't even have to be all jungle, Bethesda could have kept the further north regions and those of higher altitude as temperate (this wouldn't look so odd if the map were bigger.) while having jungle in warmer areas.
And if you'll note, judging from what you can see beyond the borders in Oblivion, the climates don't seem make dramatic changes the moment you cross into another province, in fact, it looks like what lies beyond the borders is pretty similar to the environment in the regions of Cyrodiil that border those provinces, and you only get to see dramatically different climates once you get beyond the areas visible in the game.
Anyway. If you want jungle, there's always Blackwood.
Blackwood is not really what I'd call a jungle, the name "jungle" invokes several things, among them is very dense foliage, which Black Wood does not have. Black Wood is more like a big swamp, which kind of makes sense, since it borders on Black Marsh, but it doesn't exactly make Cyrodiil look like how I'd have envisioned it from the lore written before Oblivion, even if you take into account that the Pocket Guide may have been exagerating a lot to make the Imperials seem more impressive.