I usually decide to head towards a place that's been marked on my map for a quest, but it tends to feel like free-roaming because I usually can't remember for the life of me what quest it's for. I'll also do good-old free-roaming and exploring.
Which is the "spirit" of TES games. Unfortunately the new crop of gamers can't seem to play anything that doesn't spoon-feed them content. Blame MMOs.
You have obviously never played Everquest. Back when I played(back around Omens of War), Everquest was like TES on crack when it came to exploration. 7+ expansions of content, you had to download maps for areas, no quest markers or pointers. I loved that game.