i felt the same as you once. But then I scrapped my character, started over on master. Now I know I've earned every step of ground I walk on. Doing things the hardest possible make you think at the end of the quest "hell yeah, I did that".
I found playing on adept to be challenging for the first 25 lvls but ever since I hit lvl 35 the game has become a cakewalk, I think I will have to up the difficulty to feel like I am earning anything.
I just liked how, in Oblivion, you got passed around to guild members of different ranks and had to earn their respect before advancing in the guild. In Skyrim your dealing with the top people in no time. Hell, I feel no one in the thieves guild "knows" me and are just like "you seem like a good guy, based on that we'll make you our new master". Pretty lame.