And when you're still a low level character, be careful when wandering into tombs and caves. You might not yet be ready for most of them.
Try to find a suitable armour as fast as you can. When you're a thief, go with light armour (glass), when you're a fighter, you're best bet is heavy armour. You'll have a hard time finding Daedric stuff in the beginning though.
Join as many guilds as possible, maybe even become a vampire for a while.
Never ever leave home without some "restore" potions.
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