But anyway, it only takes a few minute changes to add this same sense of open-world, do-what-you-will, no-hand-holding: GO!
1) Your NPC companion dies during the escape from Helgen, leaving you to experience the world without a guide.
2) Points of interest don't show up on the compass unless you've discovered them.
3) Journal entries are written as journal entries rather than a checklist of things to do. "Talk to NPC." "Pick up your sword." "Breathe."
Those three changes alone would bring it all back, I think.

