Imo the best way to play Bethesda games is to ignore the main quests etc, and just explore.
Bethesda games have some absolutely stellar hidden side quests.
Elder Scrolls games become so much more enjoyable if you just roam around, talking to random people in the Inn etc and just do the random sidequests. Some of those side quests have more effort put to them than most mainquests/guild quests.
In Oblivion for an example there is this random-ass town in middle of the wilderness to which no roads lead or anything. When you enter it, all the NPCs hate you for some reason and refuse to talk to you. But if you go to the same place at the night, you'll start to see some weird cult shit going on.
Only way to find this place is to find it at random or via some random ass side quest in a tavern.