Well, the way I played it (Oblivion) was to kill an innocent to get TDB guild quests going, then mage/fighter/theif guild quests going. These quests very often made you go to places out in the wilderness, and you can't fast travel unless you uncover it. I'd use these quests as opportunities to adventure out and go off the path and find new quests/places.
Plus, it's optional. You don't have to use it.
I agree that Morrowind has some things I wish were in Oblivion, like vampire "guild" so that you had more to do when you turn into a vampire than just be annoyed at the sun. None that to me personally overtake all the positives Oblivion brought to the series, though.