Maybe I'm just OCD or anol or something but I find it hard to leave whiterun or other small beginner areas because I feel like I don't want to leave unfinished business there. I mean this is my second toon (first one I deleted about level 20. I am now level 30 now and sometimes hate it when I have a ton of quests spread out all over the place. I have a hard time trying to figure out what to do next. It's a good thing I know but damn!! I've played MW and Oblivion and never really had that weird feeling where I didn't or couldn't decide what to do next. I like sticking with a quest line and gathering all the lore because if I break from it I may not remember exactly what is going on if I come back to it 5 hours later..
Anyone else have this inclination?
Advice to loosen up??
I didn't read through all the replies, so if I'm repeating anyone I'm sorry. I know EXACTLY what you're feeling, and it's an MMO syndrome. I'm guessing you're coming from WoW or some other similar MMO, where a town was nothing more than a "quest hub" where you'd max out your quest log, complete each quest in a timely manner, cash in the quests, and move on to the next town. This mindset doesn't work for Skyrim for several reasons-- most importantly because A:) Quest completion doesn't earn you "XP", and B:) the stories for each quest become totally lost and muddled, you'll never be able to make sense of it when you're running around with 50 open quests.
It takes a while to get over this, but when you do you'll enjoy the game a lot more. You'll be visiting each town countless times over and over again, so only pick up a few quests that interest you at a time.
Here's a tip: RP a little bit. My newest character is a Cleric (D&D sense), and prioritizes quests at temples and quests involving deities. This might help your focus a little bit, so you won't be tempted to grab every single quest you can get your hands on. Good luck!