Its an amazing game once you get into it... A lot of people are put off because it seems like a lot of walking around between places, its really not. You can use the giant cockroach for fast travel. The Mages Guild can transport you between cities. You can get spells that will transport you to the nearest Imperial temple or Almsivi shrine in a city (useful if you can get fast travel to a city near the one you want). You can fly once you have the spell. Later in the game, you can get boots that'll let you run increadibly fast.
If your energy bar is empty or low (probably from running), you will miss a lot in combat, because your character is exhausted. Let your character rest, or cast a spell on yourself to recover, before you fight.
This is why you NEED the strategy guide for this game, not to cheat ahead and ruin the game like most people do, but to learn some of these things. The game doesn't do a great job of training you early on, you just jump right in.
If you're overpowered that fast, you're fighting in the wrong places or you're not advancing in the storyline at all.
I've spent hundreds of hours in this game and I'm very excited about the new Elder Scrolls game coming out for 360. I've beaten the game at least 3 times, got all the interesting items, become Grandmaster of all 3 houses and played with all 3 strongholds (with 3 different characters), become leader of all the guilds, etc. I even brought the semi nude dancers from Suran into my mages tower, on the Xbox version. But since I lost my savefiles, I haven't done the expansions on Xbox, even though I own it. Don't really feel like beating the game again just to play them.