The greatest difficulty would be to understand and speak the languages. Second difficulty would be to get a job. Smithing is not so easy, do you really think you would be allowed to forge important weapons or tools as a foreigner who worked in a bureau before? Ask Belethor in Whiterun, perhaps he needs another guy to clean the floors.
If you got a job and enough money and you wanted to live an adventurous life, you should try to learn fighting first. There are enough trainers in Skyrim, you know. A plate armour would give you the best protection, but would have to be tailored for you and would be very expensive. It's weight then were not so much a problem, soldiers of the modern times went and go to war with more weight on their bodies than medieval warriors in plate armour. If light armour would be your choice (it would be mine), don't be silly enough to use fur or leather, use the gambeson-like armour of the guards and a decent steel helmet. If you had to fight against foes in heavy armour you had to use a heavy weapon, best would be a halberd or a bill (non-existent in Skyrim, make one for you), second best a two-handed axe or war hammer. You cannot use swords so easily, above all not curved thrusting ones, against plate. If you used a sword, you had to stab with it against weak armour spots, not to thrust. In the 15th c. AD of our world, there was the rule that you needed two or three soldiers with heavy polearms to bring down a person in full plate armour. Don't overstate blunt effects of weapons against hardened and padded plate armour or helmets.
Against lighter armoured enemies my choice would be a spear combined with a shield and sword. You cannot use a short-shafted mace against foes with edged weapons without decent own armour. So bring the spear, the "queen of weapons" to the Tamriel dumbheads who don't use it any longer and win your fights with it. Train real sword fighting (has nothing to do with movies or some so called martial arts) together with the aggressive use of your shield.
Gameplay wise I play an adventurer who fights more or less naked, with sword and shield, on master. I very often get my guts ripped or punctured or get roasted/frosted. So it would be a very short game if I weren't allowed to reload.
