As much as I like Skyrim, I have a few issues: Foremost, compared to New Vegas the game just isn't as "smart." For example, as you played New Vegas and fought alongside the NCR or the Legion (or otherwise) you actually felt like you were impacting the world as you recruited various factions to your cause and saw various bases cleared out of members of the opposing faction and replaced with your guys. If you wanted to rush into the opposing faction's camp and clear out the leader you could do that too-- even if it didn't have a HUGE impact on the game, it still was better than in Skyrim where you can beat Ulfrid within an inch of his life but are never permitted to actually go ahead and just kill him (before the final quest in the Civil War line).
The other thing is, I just haven't been able to settle on a character I like yet. I have one Nord guy, who's a Stormcloack, but after being disappointed with the Civil War quest I moved to a Mage-thief combo... which is just kinda a sucky combo, because Mage robes suck and people kill me pretty damn quickly.
Sigh. Guess it's time to try another build out!