All I can say is Im glad I wasnt pre spoiled by previous versions, and I only RPG's and played Elder Scrolls from this rendition only.
Nothing will ever match your first time at something new, to me this isnt realy much to do with the game but psychology

When did I get a "wow" moment, well, not realy at the start (nice experience though), not realy coming out of the cave to the world of skyrim, but much more when I got to Riverwood and then started to slowly understand what could actualy be done and the character roles, then it got to night time and the night sky when I started to walk to more open areas.
but the moment it looses that "off the boat moment" is when you leave the cave and dude is there holding your hand to the next town. Dude should have died off or something so when you leave the cave you are alone and wondering wtf just happened
I would agree with this, the best atmosphere would be the dragon flying around for a bit and then flying away ... the music fades in, your crouched ..... ummmm ..... so, WTF do I do now then? I think when your running around escaping at the start you get "just get to riverwood when you can!" moment slotted in, which drops the quest line in, WHILE your trying to get out, then the other follower dies (having telling you "whatever happens try to get message to riverwood" ... of which you dont know where it isand then you enter the world thinking ... so ... lets check the physical map and find out .... then explore mode kicks in.
Plus the stones part could be slotted in when you meet at riverwood to give notice of the passing of someone/dragon sighting ... that way stones arent thrust into you at the start if you miss them.