The Elder Scrolls V: Skyrim

Unlike pretty much every other Elder Scrolls game from the past ~20 years, you can't really fuck yourself over in character development. Go hog wild, try everything! The only things you're limited by are the perks, but even then you get enough to max out at least several trees.

Get out of the packrat mentality! You can grind more than enough money chopping wood, harvesting crops and making leather helmets. You can leave those iron greatswords and hide armors where they lie.

Don't miss the Guardian Stones. They're just past Helgen and give you a good growth boost in the skillset of your choice. As with all the other Sign Stones, you can switch any time.

You can tell trapped doors and chests apart and disarm them before they blow up in your face. There's one just past the front door in Valtheim Towers, see what the mechanism looks like. Also, keep an eye out for tripwires and swirly-patterned flagstones.

Unlike the crafting skills in many other games, smithing is very useful. On higher levels, the improvements you can perform can make up for the lack of warrior skills. And think of the money you can make from the mines!

The world levels with you, and a dungeon's level is decided by your character level when you enter it, so if you find a dungeon too hard, just come back in a couple levels.

That said, there are minimum and maximum levels for most creatures, so some areas will be still be very difficult early in the game.

Exploration is the most interesting part of the game, feel free to wander around the world. Quests and random events will find you, you can choose to ignore them or not.

It's best to specialize in only 5 or 6 skill trees, but it's almost impossible to gimp your character, so don't stress about it.

Sometimes it'll feel like dialogue is forcing you into a corner. Remember, you can always exit dialogue without agreeing to someone by hitting Tab (or whatever the menu-close button is on the consoles).

It's actually very easy to gimp your character early on--all you have to do is spend time leveling non-combat skills. You should really focus your first 5-10 levels on going out and killing things. Doesn't matter if you're using bows or two-handed maces or destruction spells, you want to have a solid combat base early on. If you blow your early levels increasing skills like Enchanting, Sneaking or Speech, the combat can easily outpace you in the meantime. This balances out around level 10 or 15 as you stop gaining levels so quickly and can afford to focus on both combat and non-combat skills.

See, unlike other games like Fallout, you can't just talk your way out of combat in Skyrim. Sure there's a speech skill, but it's horribly implemented and won't let you opt out of a lot of combat. So you can be as diligent as you like increasing things like Speech and Pickpocket and Sneak, but unless you're combining those with direct combat abilities (and I mean investing in perk trees as well, not just increasing the skill values) you're going to get left behind in combat at higher levels.

Unless you're somewhat familiar with the game, you should really start by joining up with one (or several) of the major factions (the mages in Winterhold, the fighters in Whiterun, the thieves in Riften or the assassins outside of Falkreath). Each one will send you on missions designed to make use of a certain skillset, so be aware that doing thief missions won't involve much combat but will force you to increase your sneak and lockpicking heavily.

Also, be sure to familiarize yourself with the crafting options. Most blacksmiths can provide a hands-on tutorial for smithing, whereas enchanting/cooking/chopping/mining/alchemy are all fairly straightforward. Still, make sure you know what you can make and how you can improve your gear using those things.