As everyone else has been saying the first season will seriously draw you in. But depending on how much you enjoy the first season you may enjoy the following ones. At least give the second season a shot instead of ignoring it like the others who have replied have been saying.
For me it was having lydia die in Fort Dunstad and then only to find her body naked surround by a huddled screaming group of other NPC's just inside the front gate of Whiterun. I have no idea how she got there, but I was just as freaked out by it as those NPC's were.
As everyone else has been saying, go to Sen's Fortress. It isn't that difficult once you start taking an even more methodical pace then you normally would through other sections of the game. Single out the enemies makes those snake guys seem like nothing. When you get to the top of the fortress make sure you collect the cell key so you can easily get from the top to the bottom using the cages rather than running up and down each time you go there. Before facing the Iron Golem make sure you get Tarkus and have tarkus kill the guy that throws the giant fire bombs.
I found Sen's Fortress to be pretty tough as well, but once I slowed down, upgraded my weapon (Maneater Snake Greatsword+7) I was able to blow through it with ease.