Play from the character's perspective, make the progression into the game a story.
For instance at the moment I play an Altmer who came to Skyrim to be as far away from the Thalmor as possible, he was born in Cyrodiil and one day packed a kit and just went North.
Entering Skyrim he is arrested and has no idea why, nor does he really care. Through a series of incredibly lucky events he is saved from execution and ends up free.
He then decides never to be powerless again.
His quest for what he would call the power to be free leads him first to destruction, then conjuration.
Joining the College seems like a good idea, they can find someone else to do their errands he's just there for access to power.
Maybe hell collect a book now and then for the Orc librarian he likes.
Soon he reached the limits of what magic could offer. Not statisfied he then went into pacts with various Daedra to obtain powerful artifacts. He still believes he only wants to defend himself but meanwhile the innocent body count stacks up. He would say you cant make an omelet without breaking eggs.
Daedric pacts can only take one so far and even though as an Altmer he can expect to live a very long time, he sees eventual mortality as a weakness to overcome.
So he studied means and measures and decided to force a vampire to infect him.
Now he is immortal, nearly untouchable and feeling empty inside, apart from a craving for living blood..
Soon it will be time for redemption, a cure and to save the world from Alduin as atonement.
See?
You just make it into a story, thats how I roleplay
