Here are a couple of things that helped:
1. keep Health at 100
2. no armor perks
3. only smith what you or your follower will actually use
4. no healing spells unless you are playing a mage
5. don't become highly skilled at all three crafting skills (smithing, enchanting and alchemy). I try to focus on just one crafting skill for each character.
6. try to spend most of your gold on training, arrows, smithing materials (unless you are only using ore and pelts that you find yourself), potions/poisons (unless you are an alchemist)
The following tweak doesn't really make combat harder, but I found it made the game a lot more enjoyable and probably my playthroughs lasted longer:
In SkyrimPrefs.ini, change "bShowCompass=1" to "bShowCompass=0"
This disables the HUD compass and made exploration a lot more fun because you start to pay close attention to natural terrain features and distant buildings and landmarks in order to navigate.
2) No stealth. It's terribly flawed and makes enemies dumber than usual.
I had an excellent time with my stealth character on Master. The stealth gameplay in Skyrim is much more fun than the stealth gameplay in Oblivion and Morrowind.
The idea is that you develop your build to where you can backstab and one-shot lots of enemies from stealth, but once you get their attention, they can easily one-shot you. So don't put any points into health or armor, and the heightened feeling of danger really adds to the stealth playing style.
