What makes The Elder Scrolls games great is that there is no set goal, and there's absolutely no set path. You don't want to do one of the 'fetch quests'? (which, by the way, is a ridiculous statement. There's a ton of really interesting quests in all the games) Then don't - just go explore. There are dozens if not hundreds of stories, both written and emergent, just waiting to be found. Christ, on one of my first characters in Morrowind, I accidentally entered a vampire den while searching for the dungeon on one of those 'fetch quests', caught vampirism before getting out, became a vampire, and then spent hours trying to track down the rare book I needed that described the cure, then carrying out the cure from the book. All while trying to stay alive, (read: drinking blood) and getting no help from anyone, as every NPC would either refuse to talk to me or try to kill me, even my own guild.
I mean, I've never had an experience even close to that in an MMO.