1. Play through trying to become as powerful as possible as quickly as possible. Ignore side lore, quests, and anything else that doesn't build your character's raw power. Use online and paper strategy guides to BEAT every boss, dungeon and challenge and come across as the most POWERFUL hero in all of the land. Often times this means having to reload when you don't get the outcome you desire, but thats okay because you're powering through.
2. Play through carefully and thoughtfully. Take notice at all of the books. ACTUALLY READ THEM, don't just click them to gain a +1 to books read. Allow yourself to face the penalty of getting caught by the law. Allow bad things to happen to your character. Do quests that are there just for flavor, not for power. Don't cheat and look at online guides on how to win a battle - figure it out yourself or don't do it.
I decided to play most of OBLIVION as #1, but I've spent time thinking and come to the conclusion that I will play SKYRIM as #2 for at least a few play throughs. I think this will help add to the continuous wonder and amazement. TES is filled with rich lore, and it is worth taking the time to do things that enhance the FLAVOR of your character rather than always going for the uber hax lootz.
So, how are you going to play SKYRIM?