I picked up Fallout 3 a couple of years ago and absolutely loved the concept, despite the fact that playing it was really never that much fun for me. I'm not a big RPGr, so I kept getting nervous that I was permanently screwing up my character in the early stages or not completing the quests "correctly", instead of just exploring, leveling up on a whim and just enjoying the experience. It got to the point where I felt like I had to do "homework" before I played and then spent 45 min screwing around with my inventory. Needless to say, this sort of sucked the fun out of it and I put it aside. I played Mass Effect a bit, but I found myself reading all of the in-game background material on all of the races, politics, history....snooze. It wasn't until I finished Red Dead Redemption with something like 94% that I was able to rewire my brain on how to play these games and actually have fun with it. There is no "proper" order. My character will grow organically with the game as it goes. I don't need to collect every single plant and cup and bowl that I come across.
So I bit the bullet last week and bought Skyrim. I still wish I'd spent some more time on the character creator (my wife thinks my Nord is so ugly, that she can't ever side with him), but I'm enjoying it nonetheless. I have some long term quest goals that I don't want to get too distracted from (although I know I will) and I'm just digging the sheer size of this place. I'm not reading all of the books (I'll skim occasionally, but that's all). I'm not stressing about the abilities that my character is deficient in. I'll either develop them over time, or start a new character with those focuses later.
The biggest thing for me is time management. I refuse to stay up until 4 am to the detriment of my job, my home life, my health and my sanity. I'm only playing about an hour or two at a stretch, and this is keeping me from getting burned out and prevents my wife from burning the place down because I'm hogging the TV. I'll allow myself a few weekend lazy-day marathons, but those are special occasions.
Fallout 3, I will return to you, and I will conquer you...