Mighty has some good recommendations. My main thing would be to make sure your preferred method of combat is a Primary Skill. If it isn't, you'll be underpowered at any level. Diversify, loot, explore, but don't worry. You'll end up playing the game more than once, likely, or at least playing long enough to eventually level out skills.

Guilds are your friend, and I'd second the idea that the Thieves' Guild is one of the best. (especially for explorer-dungeon types) It has some great quest rewards that will help you out in the long run.

The PC version really is superior though, and there are some great mods out there for tweaking the game.