If you want to add a level of challenge and immersion into a game, try actually role-playing. It can be hard to maintain continuity/immersion when alternating between murderous rampages, crime sprees and regular questing.
In most of today’s RPGs, the worlds are huge and you can do almost anything you want. You could kill someone in the street, you could steal some armor or you could kill all the horses in a town. The original idea behind role-playing is that you’ve chosen the kind of person you’re going to be before you start playing. "Will I follow laws? Will I refuse to kill priests? Will I use magic or kill all those who do instead?" It’s like adding in your own storytelling to a game. This doesn’t mean your character can’t change or grow, but it adds an extra, more personal layer to the story that’s unique to your imagination and experience.