They have their appetizer:
Escaping Helgen, getting to Riverwood, Embershard Mine, getting to Whiterun, and doing Bleak Falls Barrow
They have the main course:
Main Quest, Civil War, and whatever main factions they want to do (DB, TG, College, Companions)
And then they have their desert:
Usually a handful of sidequests or daedric quests they want to do.
Just doing these things, a person can easily get their characters into the 40s or 50s and then they hit that brick wall of boredom and maybe repeat the process once or twice, declare Skyrim as lacking depth, and want more DLC, and complain about the lack of depth in quests.
But lets say instead of a restaurant (like I posted in another thread), Skyrim was a buffet table. Sure certain items at the buffet would be features (Main Quests, DB, etc) but you can feel free to take your plate and mix and match as you want, without any obligation to things according to a particular formula. I think the choices then open up.
- Main Quest
- Dark Brotherhood
- Thieves Guild
- Companions
- College of Winterhold
- Civil War
- Daedric Quests
- Bards College
- Gauldur Legend
- Forsworn Conspiracy
- Man Who Cried Wolf
- Unfathomable Depths
- Finding various "Sources of Power"
I could list all of the side quests (but won't, I tried to list the ones that have multiple dungeons/things to do or are large) but its not necessary, and then there's just the choice to run around and do various radiant quests.
The point is, if each playthrough you pick 4 or 5 different things from the list, and then doing a number of Radiant Quests (by just take time to wander around a bit), you can get yourself to level 50 (the point at which many people retire their characters) and not be bored out of your mind. Combine that with making characters with vastly different builds and races (playing an Argonian Nightblade is a lot different then an Imperial Paladin) the depth that Skyrim offers is actually much more then people realize.
People just get used to a certain routine and repeat that routine and wonder why they end up feeling disappointed. Just because they tell you to go to Whiterun, doesn't mean you need to. Play the game, don't let the game play you.