Yay! Asylum has taken the plunge! (oh, and Todd, get that basketball crap out of here.) I definitely suggest you check out some strategy guides to help you get through the game. Be warned, it seems like it takes forever to get through those initial sewers. Then you can do anything you want. It will also help to not do certain quests early on, and others right away. For instance, if you actually go back and get the "Fingers of the Mountain" reward (not necessary to complete the Mages Guild quest), the reward is decent but weak later on in the game. Wait to do it until after level 25+ and you get a reward that is extremely powerful.
Oh yeah, don't even try fighting the imperial guards until you get majorly powerful. I'm up to level 23 and even though I can take out one or two, they still overwhelm me and kick my teeth in. Then they pee on my broken body. It's sad and humilating.