I die multiple times because I have no armor (robes only). I'm considering buying the hardcover strategy guide tomorrow. There's just SOOO much content and while I love the exploration, I'd really like having a reference, especially since it's too early for a comprehensive wiki.
IGN has a wiki guide up, that is not remotely close to being comprehensive or complete, but still gives you a guide for the main quest and some of the other bigger questlines (Companions, Thieve's Guilds, Dark Brotherhood, College of Winterhold, etc).
And as for the dragons, I've killed 4-5 of them. Two being from the main quest line and one that was given to me as a Miscellaneous quest (who is at Skyborn Altar protecting a Word Wall).