Ive just started this type of character now, Argonian stealth mage. (Chews-Tobacco-and-Spits) just love the idea of just doing stuff, havnt been to Whiterun, walked to windhelm and Winterhold, did some delving got my ass kicked, , but i will go back and kick theres later, only have a couple of quests in the journal but im at level 17 now and it is extremely enjoyable, not even bothering to do TG or DB either, well maybe later. its also taught me a few things about using illusion better and started useing Runes, really cool spell for stealth.
I think just wandering and doing whatever and some delving or even mercenary jobs with any style of play is a good way to learn and hone your skills for when or if you do the Mq and such, certainly taught me a few tricks i didnt know about.
well thats my 2 cents .. ..