You level way too damn fast.
I've logged about 30 hours into that game (I know, I've been a mole this weekend) and I'm already level 25, almost 26.
Now, correct me if I'm wrong, but it was not possible to level this fast in Oblivion. I logged at least 150 hours in my main character on Oblivion, and he only got to level 31.
For a basic gamer, you are right... the leveling process is faster but expect the last levels to take much longer and your character won't be as good as it was in Oblivion because max Strenght and Endurance could be achieved by level 25 (menaing max Stamina and good hitting power). In Oblivion, I build a lvl 50 mage in about 50 hours (using training and skilling). I think Skyrim will be tougher even as a lvl 40 than Oblivion was.
To name only one complaint, I have to go with the ''you cannot know your bounty''. As a pickpocket-thief-assassin, there is no way of knowing your actual bounty in a town unless you are arrested (the General Stats only give you your Largest Bounty and your Total Lifetime Bounty).