I've just beat it now. I'm going to write NO SPOILERS at all. 74 hours, and I've done 2 major guild chains, and also I've completed the stormcloaks chain. I've not explored as much as I should, but I don't want to, to save things for later rerolls.
I wanted to do a character with only bow skill, daggers to backstab, and all the thief related perks. At the end, I picked up all the bow perks, lot of one handed (specially dual wielding), smithing to get the dragon armour perk, stealth to 100 as well, and a bit of pickpocketing. It makes no sense to waste perks into lockpicking, unless you hate the mini-game or want to roleplay that way. I've opened all the chests/doors I've seen in the game, and never ever went below 90 lockpicks after the first 10-12 hours.
I've played in expert, and the game was a pain at first (I was levelling sneaking and nothing else), and at the end I was pleased the level scaling was not as terrible as some people have said. In fact, I got my most powerful bow at level 23, and it was not a unique item (but I had to do crazy things to kill the enemy that carried the loot). And the game was much easier at high level! When I was low level, some places I had to run and come back later.
Now I want to do a pure mage character, but I think I should wait till the mods begin to appear. Maybe I'll just try it a bit...