I travel in a giant sprawling loop and take care of whatever business I have in every location when I reach that area, and I find that there's always something to do in every hold I arrive at - between the Dark Brotherhood, the Thieves' Guild, and the Mages' College my time is never wasted and there's minimal idle travel (not that I dislike idle travel at all). Aside from hugely lengthening every aspect of the game, it ensures that I'm *always* looking forward to something. When I'm up in Solitude, I'm anticipating my rendezvous with me ol' mucka Delvin down at the Flaggon and sharing a pint with my boys; likewise, once I reach Riften I'm dying to advance the Mage's quests.
It's a very simple play method, and I don't doubt that there are many others playing this way, but I get the impression that most people don't do it this way. I love it, and if you find the game too short you may too.
-RiC
