Thanks for the great help people. I will go travel around a bit and see if i can pick up some easy quest on the way. I didn't know that you could lower the difficulty when you have started a character (i should have spend more time on the forums i guess) so will try that as a last resort.
Its not that i'm not enjoying the game at this moment, its just that i feel that the bosses are a bit to hard for me right now and they are the onces that finish a quest

in my experience, exploring caves before the quest leads you there ends up in either an empty dungeon for you to walk through and finish the quest easily, a dungeon with respawns monsters to kill again (usually different than the ones before), a locked door that requires a key you can't get without the quest started, and lastly the NPC will often have a dialogue already that says, "I already have the book you're looking for." etc..
Thats true because i did the Bleak Falls Barrow dungeon in search for the golden claw and went all the way to the finish. I found a dragonstone and the shout at the end and being a compulsive looter, i took the dragonstone with me. When i then traveled to Whiterun, the jarl's wizard wanted me to retrieve a stone that he found very important. And indeed, there was an option in the dialog where i could hand over the stone right away.
And just one thing that happend to me just yesterday. I was exploring the surrondings off Whiterun when i stumbled into a camp. At first i thougt they where friendly travelers or merchants so i put away my bow and walked closer. Being so close to the Jarl's city, it couldn't be a bandit camp, right?
Well, after i took a arrow to the knee

, i reached for my sword and killed them all (just 2 off them

) No cave or indoor area was connected to this camp so i guess they are just random encounters. Had fun and will continue to have.
Once more, thanks and happy gaming!