The game is so open ended for both content and style of play, that really the best advise is to simply enjoy!
Practically speaking, I would recommend getting a companion early (do the few quests in Riverwood and you'll have access to the elf archer); not only do they help in a fight early on, but they contribute to your carrying capacity. And get a house as soon as you can (the cheap one in Whiterun is 5,000) so that you're not stuck leaving/selling stuff you would prefer not to.
Finally... perks are limited and unrecoverable. Keep that in mind when choosing them!
Have fun!