I know this is an old thread, but I wanted to add that, I have not played a game where I had so much fun at the beginning, just sneaking around (without fighting or leveling up, once I got some initial quests done), and stealing horses from every enemy I could. Sneaking around like that can be very dangerous, and it has you looking around all the time. When you find a horse, you may need to figure out a strategy that works to get you and the horse out of harm's way before one of you dies, but then you have all those beautiful horses to ride and use as mobile storage chests to sort and store your loot. I haven't found all the horses yet, but I've found quite a few of them, and they come in quite a variety.
Oh, I also try to get the basic training in all skills early on - finding enough loot to sell to pay for them all, and then finding all the trainers and gaining access to some of them early on, is another challenge by itself. Also, getting into places without picking door locks takes some patience and RNG luck, but can be done (being impatient can land you in trouble with the locals).
I know, you're very concerned about your sister (or, should be), but I figure, if you're not prepared for the journey, no sense starting out on it, so I don't talk to Gandahar till I at least do those things (and some quests that open up other travel options).
Post edited February 03, 2015 by PKodon