Awesome game, one of the most immersive gaming experiences I've ever had by far. Not only the best ES game but one of the best ever period. Here's a couple of tips I've learned so far...
After you save up 5K gold go to Whiterun and purchase the breezehome for
. This (exploit) does work, you just have to stash your gold after he gives you the key and before he takes the money, you'll have a couple of seconds to do this.
If you get infected with vampirism drink a cure all disease potion before you turn. Otherwise you will have to "feed" on a sleeping person after you've turned and play the associated quest to find the cure.
To level up quickly in smithing make as many iron daggers as you can afford to, it helps if you have already mined a good amount of ore and have plenty of wolf pelts. Otherwise plan on dropping a good amount of coin on iron ingots/ore and leather strips.
If you want to save all your dragon scales/bones, which are terribly heavy, let your companion carry them for you. This is only an issue before you are able to save up the 5K and buy the house in Whiterun.
Also, check the online perk guides before you start spending your skill points. Afterward concentrate on leveling up in the skills your spending points.
Lastly, never trust a talking dog.