That's how a lot of us explore and complete dungeons. If you like exploring, but don't like dungeon diving for the sake of it, here's some things you can do:
1) Talk to people
2) Listen to guards
3) Persuade bounty hunters (useless!)
4) Look through courier's inventory and read letter (no need to pickpocket)
5) Greybeards' radiant quests
6) Letters from a friend
7) Bounties from Innkeepers
Or:
Arrive in front of a dungeon,check the name,look it up on wiki,see if it has a quest,if so go the person that gives the quest,and do it.If not just enter and do it anyway if you feel like exploring.