One of my favourite things to do in that game is to is pick a direction and just set off into the wilderness, exploring whatever I come across. This frequently gets me tangled up in the most insane situations, like running away from two Minotaurs and straight into a bandit raiding party -- or even more delightfully, a Legion patrolman. It's so much fun watching him get pummeled to death while I leg it to safety inside a cozy dungeon...
... and then a Lich blows me up.