There is an easy way to find out where to go: each enemy has a level and you can see the level when you put your mouse there. If the enemy level is much higher than your own, may you should try to go somewhere else.
I think this game is just right. My favourite quest is when you investigate the murder in the first town. There are lots of things to do all over the place, but you will get some hints where to start.
In my first playthrough I skipped large parts of it accidentally. I bashed the door to evelyns house and found her diary before talking to most people.
If you want it old school, play the realm of arcadia trilogy: In the first game you start in a town and somebody tells you to find an item to stop an orc army. You start very weak, have a huge map to explore, no idea where to go, almost everything can kill you (not just monsters, also illness, traps and other things) and you will lose exp if you save the game outside of a temple. It was a great pnp adventure simulation, but almost impossible to finish without a guide.
I am happy that you tried D:OS again and finally finished it.
@vometia: You started to play cRPGs with oblivion and continued playing? Thats impressive! I have played several RPGs before oblivion. When I started playing it was nice. But level scaling killed every fun for me. After killing tons of demons I was unable to kill some goblins, then I quit and never touched it again. If this was my first RPG, I am not sure if I had ever played another one again.
Prof. Dr. Dr. Mad S. Tist 
