As an Oblivion fan, I'm loving how Skyrim is more balanced.
Like Oblivion, I'm playing on normal difficulty. I actually find myself dying quite a lot. Bandit leaders sometimes take a few tries, finding the best strategy. The combat is more fun since you have to try different strategies sometimes to triumph.
For example, I'm a straight up 2hander warrior Orc guy. I can kill most things in 3-4 hits like Giants and the weaker varieties of Dragon. I can take on 10 bandits at once with not much trouble. However, I can still find Bandit Mages/Hagravens which can take all of my hp in 3 seconds before I even get close to use my axe. The stronger Necromancers are especially deadly. While some may call it OP, I say it's great design.
Mages casting frost spells are gonna slow heavy warriors to almost a standstill and they won't stand a chance. So now you've gotta find different ways. I often have to use all kinds of spells, potions and shouts to kill the harder casters. Personally, I use the Spellbreaker shield with the Elemental Protection perk against casters. The combined 50% reduction of spell damage and 60 pts spell ward stops most spells scratching me, provided I hold block. It's a good method for warriors.
As for the other Monsters... they aren't so hard really. Trolls are fun to fight, and so are Bears. Sabre Cats were tough bastards when you encounter them at low level, but become complete pussies at higher levels. I thought I would never kill a giant either, but get a decent block skill and they're dead. Their attacks are laughably slow.