Boobie is correct. It is very overwhelming, but you have to stick with it. You walk or ride your horse a lot at first, but as you play, you are able to fast travel almost everywhere. That makes the map seem smaller and easier to traverse.
I've played throught the main story 4 times and the shivering isles twice! It WAS alot to handle when I first started, but your journal is the key to staying on task. There are two journal sections. One is for the main quest missions, and the other is for side quest missions, kind of like mass effect was.
The achievements are for the main story line, the guild missions, and running through the arena. If you allow yourself to get into this game, you will feel rewarded. Excellent game in my opinion!
@ Hockey- I glitched out at the end of the thieves guild and the grey fox wouldn't give me the last mission! I had to start all over to get that one! I feel your pain!!