I have a kind of stupid problem.
I just can't roleplay in any of the TES games. Ok, Arena and Daggerfall I could by just saying that I'm a big and strong warrior but those games were pretty simple.
Whenever I play Morrowind or Oblivion I always end up powerleveling or just loot hunting with my character.
My newest character is even worse!
In the beginning I tried to roleplay as a Thief but I started pretty fast to just powerlevel, collect everything and join all the guilds.
I even collected all the Sanguine Items!
Right now I completed all the quests I could do of all the Guilds, the Imperial Legion, the Imperial Cult, the Tribunal Temple and House Hlaalu.

Back to my original point: "Please give me tips on how to roleplay! I'd so love to be involved with my character!
Skyirim doesn't count

Work on your character more. You may be doing everything because you don't have a very well thought out character. Give your PC a good backstory, figure out a personality, goals, fears, etc.

UESP has a Roleplaying page for Oblivion, but you may find it helpful in the other games as well.

http://www.uesp.net/wiki/Oblivion:Roleplaying
http://www.uesp.net/wiki/Oblivion:Roleplaying_Ideas

That's kind of difficult to answer.
You either know how to roleplay, or you don't. Just use your imagination, get creative, and play In Character as much as you can.
What I do is something like this.... as you play, have an inner dialog with yourself from the perspective of your character. "Should I go this way? Or should I buy new gear?... What do I feel like doing, and what feels wrong for me?"
Make some little rules, like "no stealing" for good characters, or "steal for greed" for sneaky types, and follow your rules very strictly. It might be risky to steal that ruby, but a greedy thief will do it no mater what.
I find all TES games very easy to roleplay in, because you have so many options on how/where to interact with the world.

Thanks for the links!
Here's the deal, I often just think about how I could play a character, his backstory, personality, JUST EVERYTHING!
But as soon as it usually takes me less than 2 hours to start a new one or start making him an allrounder.
It's been like this since it came out and that has been quite some time.
I only manage to really roleplay a character when I share it with my best friend.

Thanks for the tip!
I managed to play a really stealthy and heartless Khajiit in Skyrim but that's only because it's more focused on an either or style of playing.

What do you mean by "share it with my best friend"?

Try keeping a journal for your character. Open up Word (or use a pen and notepad ) and write out what your character is thinking about, his plans, his reflections over what he did that day, etc.

If you stole a bunch of gear from a house, and your character can't come up with a good explanation or dialogue for why he did it (when he gets around to writing in his journal) than you should rethink what you are doing.

I often visit my best friend on weekends (he lives quite far away) and we often talk on the phone how our character could be and what game we could play. When we play together we roleplay really hard and discuss our motives etc

Here is some advice I gave on another roleplaying thread.

Roleplaying is very personal. A person's roleplaying, I think, has to fit them like clothes. It has to feel natural or it won't work. If it doesn't feel natural a player isn't likely to continue for very long.

What is it that interests you about a specific character? Anything? Build on that. Try to picture what he looks like in your imagination. Try to hear his voice. When I make a character I put them in test situations and try to imagine their reactions. I'll imagine them talking to various members of my family. I'll imagine them going to the grocery store, talking to the checkout clerk. I take the character along with me on walks in a kind of 'imaginary friend' sort of way. We discuss eveyrthing from politics to music to what's happening around us right now.

When I'm struggling to see and hear my character, when I feel like I'm merely making it up, I know I'm not ready to play that character yet. The more time I spend with the character in my imagination the clearer they become. Eventually I reach a point when I know what my character is going to say or do in most situations. I feel less like I'm 'making it up' and more like I'm listening while someone else speaks, watching while someone else perform an action. At that point I know my character. I'm ready to play.

Great advice!
I've been thinking about this guy for some time: He's an pretty old Imperial who leaft the Cult for personal reasons and is now wandering around with a dagger, iron boots and the rest clothed in expensive clothing.
I'd have to develope him more but I've been thinking about a guy like this for some time...