Skyrim Noob (spoilers)

[Kagatob]

I think he's asking what unique things there are to do out there, not how to build your character to be one of the broken (AKA invincible/boring) archetypes.

[Auvdar]

The skeleton key you mentioned is the only thing I can think of / remember. Might be a few others.

However I will tell you one thing. Wont spoil it, but if you play the Dragonborn DLC that came out, make a few back up saves before even going into the final dungeon (you will know when you go into it..).. Unless it got fixed, there is a huge game breaking bug during the last fight that can get you stuck. and afaik you can't /console kill him either, since it's all scripted and you basically get stuck. I had to turn all mods off (which included the armor and weapons) which got the fight to work, then had to turn on God mode just so I could actually kill him (since I was naked).

There is another bug like this with Dawnguard, where a NPC you need to follow you goes aggroe and won't break (and you need him to further on the story, so you can't kill him. He just comes back aggro..)

[Kagatob]

There are a few 'one or the other' questlines where there's a decision you make that forks the quest and you end up with one of two possible rewards and can't get both. The only two that I can think of off the top of my head are Azura's Star (Both rewards are similar enough anyway) and the Dark Brotherhood questline.

If you don't want spoilers I'd suggest saving your game before starting the quests and playing them through twice continuing the file with the item you greater desire.

I personally wipe out the dark brotherhood any chance I get in any incarnation of the Elder Scrolls and I'm just fine with those results. I know I'm the minority there though.