Skyrim Noob (spoilers)

[Hasbinbad]

I played skyrim on a friends computer back when it first came out, but spoiled it because he told me about the console code for a couple things and I got hooked on that. I basically figured out how to make the best suit of nightingale armor, and went out in search of dragons. I never finished any storyline, but rather had a few hours of cheat happy fun.

So I just bought the legendary edition the other week, and have finished the main storyline and am currently in the twilight sepulchre section of the TG line. I haven't used any cheats this time around and only very light spoiling when looking for a solutions to headdesking problems.

What I do know about Skyrim tho (and getting to the point of this post) is that some things are time sensitive or otherwise of a limited opportunity nature. The skeleton key is one of these things, right? Once I give it back, you can't ever get it again without console or an exploit?

My question to you, the community, is:

What are some things I should make sure to do? What are some features of Skyrim sort of like the skeleton key or whatever that you can attain without cheats or exploits that I might be missing, having walked by it several times? I don't want to pour over the relevant websites because they don't filter "what's neat" from "what's cheat" very well, and I would rather have your personal recommendations than TEH LEETEST ITEM U KILL ALL DWAGIN. I haven't explored any of the expansion stuff yet at all..

Please don't give unnecessary plot spoilers, but this thread is warned, so if you need to in order to tell me about an item/feature, do so with taste please.