The central story of the game -- the unwelcome return of the fearsome dragons -- is told in the main quest. As the main character, you're free to move this quest forward at any pace you like. Feel like developing your education with the mage guild for a dozen hours or so? No problem. Or is it time to indulge in some stealthy assassinations? The main quest will be waiting for you when you are ready.
This system really makes you feel that you are in control of your overall experience in the world of Skyrim. It also gives you meaningful chances to actually role-play, as many of the quests have serious moral and political choices to make.
You also don't have to go it alone. There are many recruitable characters in the game who can help you on your adventures.