Well, you're not forced to do those delivery quests though =p
Yea yea, the package thing starts you off on the road to the "main quest", but who said you needed to finish that anyway?
Want to be a hero type like that, join the Imperial Legion. Off the Camona Tong, free the slaves! Etc
I am right now in a quest of finding as many Daedric ruins as I can and conquering them. Gotta love those Dremora Lords and Golden Saints!