What level are you now? I think I am 33, and still feel I have only just touched on the world.
I'm level 44 at this point. I've been travelling all around the world - and aside from completing the Civil War, Thieves Guild and Dark Brotherhood questlines, it's mostly been doing other interesting quests that caught my fancy.
I actually haven't done much in the way of "random" exploring, because there's always been an interesting quest sending me to an interesting place somewhere - and it makes everything seem more meaningful.
My stats say I've cleared 40 dungeons - which means I've seen roughly one third of them all. But my character has reached a point where it won't be long before there won't be any challenge left. I should never have activated that Thief stone near the exit from Helgen
Just like Fallout 3 - you level up too fast, and the cap or near-cap is reached too soon. Then again, this is for people like me who generally prefer just a single character. That's because I have a certain favorite playstyle - and even if I'm curious to play a sword/shield Paladin or a Mage - I know I won't enjoy them at the same level. So, I'd rather have done everything with one character - but the levelling speed would need to be halved or something like that.
But I find that my combat skill-levels aren't as important as the Enchanting skill. That's probably the most powerful skill of all, because you will eventually be able to tailor your gear to rather insane levels - or at least that's what it looks like based on the numbers. I could just stay away from it, I know, but I'm simply too much of a min/max'er.
Not quite sure what the best "fix" is for that - but I'd say it should definitely take more work to level certain skills at this point. Smithing and Enchanting are too easy to level - even if you're not "grinding" them. I'd have preferred them removed from the skill-set entirely and have them be more exclusive somehow. The problem with Smithing is that once you get Dragon Armor smithing, you know you've reached the top-tier in terms of gear - and it's WAY too easy to reach that point. Dragons are also too abundant and they're generally not challenging enough.
They should have started appearing much later, and they should have been rare and extremely powerful.
Also, though money isn't THAT easy to come by - it's still trivially easy to train your way to the top in most skills. I think training should be capped at 75 or something like that - which would help a great deal.
Good news is that all those things should be trivially easy to fix once the Creation kit is out.