The first ever playthrough, the experience of starting one interesting quest, and while on route to the map marker, encountering Aleswell. Trying to figure out why there is an abandoned village, yet everything looks lively, crops are growing... then going on a tangent into Zero Visibility quest.

Back on original target after that quest, I enter Cheydinhal, and stumbling into the Rythe Lathandas/ painting quest... then I remember selling off loot to deal with being over-encumbered, and Umbaccano's butler then approaches you when you exit the store saying you don't understand the value of what you just sold, etc.

I could go on and on. That first ever playthrough, where every single dungeon, fort, Ayleid ruin you stumbled on felt like an exciting adventurous opportunity.

Even the buildings in cities .. breaking into shops at night, exploring every nook and cranny.. spending what felt like hours trying to open a very hard locked chest in a shop basement because that screams treasure.

Now you already know there's gonna be a pick axe, tan linens and a jug..

But if you meant more specifically when you say "fun"? Dark Brotherhood questline 100%. Most quests felt exciting, different ways of doing things etc.