Well, you haven't really given us much info by saying you've "advanced very far." Have you completed the main quest and Civil War? Joined the Dark Brotherhood and Thieves Guild? Found all the Dragon Shout walls?
My suggestion would be to slow down and explore. Don't use fast travel unless you have to. If you play on a low difficulty, try it on a higher setting. Don't use cheats (like smithing tons of iron daggers) to level up.
You can also set limitations for your character. For example, make a rule that you must sleep at least 6 hours every day, must cook a meal and eat it 3 times a day, etc. Also, consider giving your character a unique goal, such as killing every giant in the area or clearing all the Foresworn camp. That can make it a lot of fun and much more challenging.