You'll want to keep your eyes open for some really tricky content that's easy to miss. The secret questline at shetcombe farm east of kvatch is worth checking out, and make sure you do agronak's personal story before beating him in the arena since that gets you a nice permanent bonus to athletics, blade and block skills.

When you're working with different factions, timing is super important. M'raaj-dar has some unique stuff to sell but only during specific parts of the dark brotherhood storyline, and those daedric artifact quests need specific levels or reputation to even start them. If you're doing the thieves guild, save often during that elder scroll mission because getting caught can really mess things up, and the arena has similar issues if you get disqualified twice.

A lot of players miss the hidden stuff around kvatch with all those secret shrines and environmental storytelling. The faction questlines can lock you out of content too if you're not careful, especially around the arena stuff with the gray prince. Maybe interesting - some merchants and side quests become permanently unavailable if you progress too far in certain storylines so take your time exploring everything before moving forward with the main quests.