That sounds awesome! This approach is also making me realize some things about the game that are quite bemusing to my character.
For instance, take the first set of experiences at the College of Winterhold. I went to the College and after successfully casting magelight once I was admitted as an apprentice. Tolfdir promptly taught me a ward and then threw a fireball at me as a test, and then decided we should immediately go explore a ruin. At the ruin, we were attacked by undead, and Tolfdir lingered to study their bodies and sent me further into unexplored sections of Saarthal by myself where I was attacked by many more of the undead while barely strong enough to defend myself. I almost died several times. I firmly believe that Tolfdir is possibly the most irresponsible teacher I have ever met, and think he should probably be fired.
Later, after discovering a glowing green sphere covered in strange markings and barely avoiding being slaughtered by a horrifically powerful lich, I returned alone to the College to tell the Arch-Mage, who seemed unbothered and promptly sent me to the Arcaneum to research the subject myself. Despite me not having any idea what we had found, the orc librarian somehow not only knew about it but also knew he didn't have anything that could help me. He told me that if I wanted to learn anything about it, I had to go to some fort filled with necromancers and recover three books a former apprentice at the College had stolen. Not only is Urag apparently psychic, but is this the sort of errand you send a fresh young clueless mage on? Alone? By the gods, no wonder half of Winterhold was destroyed if this is how these people conduct themselves!
I know some of those things are just game mechanics, but my character's head is spinning. Even before all of that, on his way from Dawnstar to Winterhold, he was attacked by a great many wolves. Upon nearing Winterhold he saw a snowy sabre cat in the road, and decided he was tired of being mauled by wildlife and would sneak around it and climb up the cliff instead. When he got to Winterhold he saw the sabre cat dead in the road - and next to it, the bodies of Ranmir, Birna, and a guard. Coupled with the deaths of the two miners in Dawnstar within moments of his arrival in the mine, he is now convinced he's cursed.
I thought I used to roleplay with previous characters by coming up with character concepts and backstories and acting according to their motivations, but this is a whole new level of immersion. Poor Benjen. I can only imagine his reaction when he eventually discovers he's the Dragonborn...