In case you didnt know, you only level up when you reach 10 skill increases in your main skills. So if you level up Blade, but it's only a minor skill you will never raise a level.
I know when i started out, since i was just a straight up beat-the-shit-out-of-anyone-that-gets-in-my-way character, i went to the arena, completed all of that, went to a few towns here and there, joined the fighters guild, did the first section of the main quest (after kvatch), a couple of oblivion gates and a few dungeons. Your best bet really is to joing a guild if you want to level relatively quickly. They offer a lot of quests and they usually take a while to do them.
I'm not too sure on this, but i think the higher level the enemy, the quicker your skills raise. Since the game is scaled to your level though, you'll probably find that the first few levels are relatively slow. The jump from lvl 15-19 for me was damn quick. I think i went up 2 levels in one oblivion gate alone, but then again i was killing everything in sight.
I'd recommend saving up money to buy a house. They're worth it as a store for weapons/things you dont really use but want to keep, not to mention handy just to say "i got a little place in (insert town here)" to people. I wouldn't recommend buying a horse, especially if Althletics is one of your main skills. You just end up quick travelling exceptionally long distances and running the rest. Other than that take a quick explore around the outskirts of towns, and make a note of where certain shrines are. They can give you some awesome goodies.
As to if im married or employed: I'm a student on easter break. Thus no work and no woman nagging at me to do something...unless that includes my mum.
What character class are you playing as?