Mostly talking to myself, pretending I have two imaginary companions who specialise in certain fields. It may seem sad, but when the companions in this game are so poorly programmed making my own is logical. While exploring I have Donnovan, the team's adventure guide, mage and locksmith pick locks, look out for traps and the like. But Eldris, one of the few Wood Elves who prefers heavy armour, tanks foes whilst my character - Ravenlocke - picks them off with his crossbow. It seems silly but once again, at least these characters know stealth, basic pickpocketing and don't die if stricken once.
But while doing that I like to explore and find easter eggs and quirky jokes. TESIV had loads of these, my favourite being a knife, a bundle of feathers and a 'Potion of feather' on a roof, and things like that make you think of what happened. There's loads of these moments in Skyrim and it helps make the experience a golden one.