Always save frequently, especially before entering new areas or engaging in combat. Talk to everyone; NPCs often provide valuable information, rumors, and quests. Explore thoroughly; Vvardenfell is full of hidden treasures and secrets. Don't be afraid to run away from fights you can't win. Manage your fatigue; it affects your chance to hit and cast spells. Finally, read your journal; it keeps track of all your active and completed quests.
