It's impossible to play and have a hope of finishing unless you're power gaming. None of the main classes actually seem like their made so you could play as them. Unless you already have detailed knowledge of the game, there's not much point in trying to finish it.
That said, there's a feature in the latest patch that allows you to teleport to major areas in dungeons. Don't know how you could play without it. I mean, did anyone ever manage to survive an encounter with an ancient lich or an ancient vampire or a powerful daedra lord?
Then there's also the issue of all the randomly generated dungeons looking like octopuses mating, and that there are way, way too many fetch the foo quests. "Please, I'll help you with your quest to rid Dagerfall of the vengeful spirit, but could you please fetch me my adamantium underpants? I think I left them in a nearby dungeon infested with monsters..."