Arena

[Great Rumbler]

quests

You can join the Fighter's Guild, the Mage's Guild, the Theive's Guild, the Great Houses, the Blades, the Imperial Legion, the Temple, and the Mora Tong Guild, all of which have their own quests. And there's the main quest which I'm currently following. It's not unique or anything, but it's good enough to keep your attention.

NPC interactions

You get a huge list of things to ask people about, though generally most people will say basically the same thing. I don't see how this could be a big thing though. Some of the more important characters will have a lot of unique things to talk to you about.

uniqueness of the various areas

Swamps, grasslands, ashlands, islands, and most of the cities have a unique look and architecture style.

But would it get stolen or something if you left it in an open area?

No.