That's easy to do out in the world, but the quests are so rigidly constructed.
The obvious example: the first real Thieves' Guild quest where you shakedown shopkeepers for "insurance" payoffs. Why is there no option to just pay their "debt" to Brynjolf yourself and lie to him that the money was from the shopkeepers? I had plenty of gold, I could easily afford to do it, it suits my vision of my character's personality better than beating people up for their cash, so...why can't I do it?
If I want to play the character I want to play, I basically have to avoid the quests in the game because they basically tell you who your character is at that point, regardless of whether you agree with the game. Annoying.
It's one of my great frustrations with Bethesda games.
Much of the attraction of the sandbox style world they generally create is the "go anywhere, do anything" aspect. Feel like flying over Morrowind carpet bombing with fireballs? You can. Feel like hunting down a doe in the lush forests of Cyrodill? You can. Feel like just going for a walk between two towns in Skyrim and seeing what happens? You can. There are many different ways to build a character with seemingly vast amounts of options and playstyles. Brutish warrior wielding a massive sword, long range archer, sneaky backstabber, grand illusionist, a summoner... it seems near endless.
Then you get to a quest and suddenly you realise that for all the different play styles it generally ends up being a fetch/escort/find which involves killing a lot of people in the middle. How you kill them is often up to you but everything else is incredibly linear. It's not that
bad, especially when you're used to it (I generally play the games with an Outcast style adventure game mindset rather than a fuller RPG one which helps), but the extreme hand holding is pretty jarring at times.
Worse, the game either punishes you for going off on your own or simply prevents you from doing anything.
A couple of quick examples from previous games:
1) Oblivion, Dark Brotherhood questline.
Late in the questline it is apparent that there's a traitor in the Brotherhood, who's been setting up the assassination of senior members. You investigate this and find an item that would have deep personal value to the traitor. When all the major players are assembled you can drop this item which gets a pretty obvious reaction from one of the characters. Yet you can't do anything, you can't follow up on it, you can't point it out, no-one else reacts. Instead you're stuck in a linear quest where a few actions later the traitor you could have exposed previously "reveals" himself and starts his grand betrayal.
While you gnaw your teeth.
Most frustrating is that by building his reaction in the designers obviously thought that it was somewhat logical to drop that item. They went halfway... and then for some reason they pulled back.
2) Fallout 3.
During a sidequest it is revealed that one group ask you to become a messenger in what could be interpreted as a protection racket on a small town. Yet if you disagree with that and end up killing them not only does you karma go down but due to a sloppy faction set up you'll suddenly find the town hostile to you.
3) Fallout 3 again.
In a sidequest you can make the choice to join one of two sides in a conflict. If you join the side that is generally presented as good then they act reasonably and on the whole pretty fairly. You come back two days later and suddenly they've turned into mass murderers. If you decide to go against them your karma once again drops as it's seen as a "bad" action.
So far Skyrim has been a distinct improvement on that aspect, although I haven't done a huge amount of questing yet and I've managed to break one pretty intriguing quest by thinking ahead (which according to the various wiki's and guides I now can't complete but at least that seems to be a bug which... hopefully... will eventually be fixed). There's still some frustration that I feel like a passenger in most of the set pieces (and a few spoilerrific youtube videos indicates that continues) but again, I'm used to that. Likewise there seems to be a failure to fulfil potential in the Forsworn/Silverblood conflict but again, things like the (lack of) conflict between the supposedly competing bars in Megaton has made me somewhat immune to that disappointment.