I'm first going back to Helgen to see if anything can be found/looted there.
Then I will go to Riverwood and stay there for a while to build up some skills while hunting and exploring the vicinity and do some crafting. I'll do this until the Creation Kit gets available.
After that, I'll mod in some parts I need for my own background quest. My character - a Nord - came back to Skyrim because he received a message that his mother, father and three brothers were killed. For that I need my Father's keep (tower, some walls, three or four buildings with half a dozen NPCs) and a few items that will reveal that my family was killed by the Dark Brotherhood. For that I will also have to mod the Dark Brotherhood NPCs to be killable. Then I'll go after those sons of sneaking dogs and wipe the Dark Brotherhood from the face of Skyrim - which will be quite a task cause I expect those guys to be rather tough. During that I'll also learn that one of my brothers was not killed but still lives ... and he is behind the killing of our family. So I will hunt him down and confront him to make him pay for what he did. For that I'll make the brother NPC spawn in one of several locations so I will really have to go look for him.
This will give me my own personal quest to follow with only a few minor moddings and added text dialogue. It might sound strange to add a quest that I already will know how it works so basically "spoil" it completely for myself obviously.

But I just like to have a personal background to play through.
Inbetween I will also join the Companions and eventually will start the MQ but not until much later. So the Jarl of Whiterun will have to live in fear of a possible dragon attack for quite a while.
