I'm not sure what class you prefer, but i myself am a redguard/knight, but i can do all the magic a mage can do, and have the same skills as any thief, guess i'm an allrounder.
I joined as much guilds as possible early on the game (mages guild, thieves guild, fighters guild, imperial guards, imperial cult, temple, house Redoran) and and did quests for all of them one at a time. The links i gave you should be helpful in making choices.