As a Person who has played and 100 % 4 different times on the xbox and 2 times on the computor, know when and where the story and quests get old and boring. I reqonmend playing the main quests in this order; Dark brotherhood, arena, shivering isles, thives guild, fighters guild, knights of the nine, main quest, mages guild, with all minor quests in between the main ones.
Anthoer tip is to really disign your character; give Him or her a race you like, a GOOD name and a back story on why they are in prison and use the weapons/magic/armor they use. I do this on alot of games i play (oblivion,fallout,soul caliber,etc) and it really works. For eg; on the computor i made a breton female but (using constle commands and mods) gave her red eyes, black horns, LARGE amounts of mana and black talons instead of fingers and toes. the reason was; when she was younger she was a attacked by a dremora mage and when it was killed by the city watch some of its blood fell into her open wounds and changed her appearance. "its a role-playing game so lets motherfucking role-play" (yahtzee, new vages)
Also there are some quests that are just really horrible. The mages reconadations, the allies for bruma and the knights of the nine pilgrimage quests are quite long and boring. try to stay away from these quests until you are a high level and have found alot of locations in the world.
sorry about the large post but i'm really passionate about this game, and if even 1 thing i wrote helps someone to injoy the game even just a little bit then thats good enough for me.