Depends on the character.
Currently on my assassin-thief;
- For starters I never walk around in my Guild Master armor or DB armor. Always dressed like a normal citizen, acting normal and all. When the night falls, I crawl into my house, dress up (Depending am I going for assassinations or thievery), and slowly sneak out of the town.
- I never fight with bears, trolls, sabre cats, anything big basicly in hand-to-hand combat. Yes as 38th level I can poke bears with no problems, but it isn't realistic to engage them in hand-to-hand so I rather use sneak-stab or archery. If I get into HtH, I usually attempt to escape from that combat.
- I never use fast travel, carriages only if we're talking about extreme distances like Riften - Markrath, Riften - Solitude, etc. Usually when I travel, I travel on foot as a Thane of Whiterun, dressed up fancy, and Lydia as my guard, no compass only signs on the road and ofcourse looking at map while in town.
There are loads of examples and I won't put everything down here because more people will surely add something as well, but yeah these are basic three things I stick to with my assassin-thief. Ofcourse, food, drink... That's just normal for RP.
On other chars I worship gods aswell, but this one is just... Well, not hard to guess
