Just remember that you have magic at your disposal too. Not only for fighting, but you can mark areas and then use recall spells to teleport back quickly. It's like fast travel, but it actually makes sense in the game world!
edit: I'm reminded of my brother's file on his xbox morrowind. He broke the shit out of it, not only was his sneak beastly and he has pretty much the best armor, but he made an amulet that gave him infinite levitation (in other words, no_clip without the clipping through stuff. Just flying everywhere), as well as ring that got rid of the boots of blinding speed darkness. It's a great example of how the game can be as flexible as you want it to be.
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