Once you escape from the keep at the very start, the rest of the game really is up to you. There is no "right" or "wrong" way to go about this game. If you wander into an area intended for higher level players, you'll know about it soon enough.
Also, altitude = danger. The higher up into the mountains you go, the more lurking nasties you are likely to find (ice wraiths, frost trolls, snow bears etc). That's not to say you won't find some really nasty things down in the lowlands either, but as a general rule they aren't as bad.
Seriously, just pick a direction and set off. There are quests to pick up literally everywhere. I was level 10 on my first character before I even properly started the main quest line, and only dipped in and out of it occasionally on the way to level 40 or so when I finally got stuck in and finished it. And I've still got a fuckton of stuff to see and do.
The beauty of Skyrim is that apart from the first 10 minutes, where you go and what you do is entirely up to you.
As for the PS3 bugs, they are starting to show on all platforms now according to the Bethesda forums. They just showed up quicker on the PS3 because of the way it uses its RAM. Basically, the bigger the save file, the more in-game lag you are likely to encounter. It's worse in some areas than others though, and was partly fixed in the second patch. A more complete fix for it is supposed to come with a patch sometime in January, although I personally haven't had the crippling issues some players have reported. Most of the other major bugs have, as far as I know, been fixed in the most recent patch.