Well I don't know what kinds of things you're in to, but I like to go sightseeing sometimes. It's good fun to just look around and see what a gorgeous world Skyrim is. Or you could do things like search for specific alchemy ingredients, or read books.
I like getting all the skooma I see and placing them around my house. But home demarcating was a thousand times easier in Oblivion. In Oblivion, I had every single possible unique item put on display in shelves, tables, and display cases BY HAND. I spent hours perfecting the placement of sets in Rosethorn Hall. But now the grabbing physics are all screwed up. /rant
You could get the ebony blade maxed out by killing people who's favor you've earned.
Get your pick-pocketing up all the way and get the last perks and take all the clothes off of everybody in a town (haven't done this myself, but sounds possible and fun)
Go deer or bear hunting and actually use the meat for a stew, the hide for leather and armor and antlers/claws for ingredients and role play a Native American/Mountain man.
Become a thane in a new town and go on a killing rampage and use your 'get out of jail free' thane card.
I like climbing mountains too, and then jumping off them.
Or selling and shopping and then re-decorating/re-organizing my home. And after some time I've got so many things, so many supplies, and enough money that I don't need to make/sell everything, that I like to make stuff and reverse pickpocket it onto NPCs. Give them better armor and weapons and stuff. Giving everyone crazy weapons with two enchantments makes the random vampire attacks less stressful and more amusing to watch.
_____________________________ GT and PS3 ID: chigangrel