Maybe most importantly, everything is new - to that character. For the first, say, 15-20 levels, you discover locations for the first time. Travelling to Solitude or Riften or Markarth for that first time feels like an epic journey.
Unfortunately, and probably not coincidentally, it's right around level 20 that I begin to lose interest in my characters.
Once I've been to all of the cities and made a decent circuit of the province, the game begins to take on a back-and-forth tedium. Go here, kill this; come back, get rewarded. Etc. For the first several levels, that seems appropriate. The locations are new. But after awhile, you've been over the same damn stretch of road so many times. You've already *been* to Markarth a half dozen times. What used to be an adventurous trek of exploration has become a necessary evil, a stretch of dullness in between the 'action'.
How do you maintain an interest in your characters past this point?
I have tried only doing one quest at a time, but some of the questlines really force you to travel in nonsensical ways. I've tried staying in one area and 'clearing' the area before moving on. I dunno, I've tried several different things and it always seems that around lvl 20 I start to go, "Huh. Been here before. Time to reroll!"