Just an excuse to get you to go someplace on the map, like in Morrowind with the Orders to report to Cosades.
Yes, but in Morrowind you were told to go see a guy. The first thing he says is to go and get experience and learn the land. In other words, don't start the main quest yet. Skyrim encourages the same exploring aspect because the guy you escape with tells you to split up, also encouraging you to have an adventure before you begin. Oblivion was "Quick do this part of the main quest!" Then "Oh noes! You'll need to do this other part of the main quest! Everything depends on it!!!1!11!"
I found it very hard NOT to do the main quest in Oblivion from a roleplay perspective. Skyrim, I'm encouraged to be going in any direction, other than the main quest.