On the hands on they say there's quite a few side quests.
Not what im getting at, and if the side quests are anything like the Thieves Guild side quests and others in game which require you to: A ) go steal said item or B ) Go kill said random generic named person or C ) Deliver item you have delivered a thousand times before, then no.... Just no.
Depth = memorableness, having a story that really captures you and makes you want to progress through said story to find out what happens next. Having characters/NPCs you get attached too, and having a world/place feel alien/alive, where your actions you make in game effect the world or atleast the characters in the game to some extent. Currently Skyrim lacks this, alot... Even Oblivion had more depth.