1. Requiem : A mod that Overhauls Skyrim Completely http://skyrim.nexusmods.com/mods/19281/?(check the readme for all the features):
-Makes the combat a lot more engaging although also a lot more dangerous, it makes stamina actually matter and also makes you have to approach fights with a plan in mind. For example for a melee character you have to choose when you power attack or block carefully and you can't just flail your weapon around and kill everything. I would say the combat feels more like chivalry than skyrim.
-Removes leveled lists for the enemies and also adds a lot more enemies in some places, for example in Nordic Ruins.
-Makes locks harder to pick but also makes lockpick not required as you now can break locks if you have the power or use a spell to lockpick.
-Overhauls the spell system and also adds a bunch new ones.
-Disables Fast Travel but that can be turned off (it does not disable carriages), also adds a teleport spell and a summon spectral horse conjuration spell that moves very fast.
-Adds new enemies.
-The perks are totally overhauled to better balance the game ( no more x 30 dmg with daggers).
-Removes the alchemy / enchanting exploit.
-Overhauls the Daedric artifacts to make them feel more like Awesome Artifacts of the old gods, actually usable at a high lvl.
-All in all it totally changes the game with a focus on an immersive roleplaying experience.
Notes: - This mod requires SKSE and SkyUI which is one of the top endorsed mods on skyrimnexus for a reason

- If you plan on playing Dragonborn and Falskar there are two diferent add-ons for this mod.
-As the base carry weight is highly decreased you can get the Bandolier - Bags and Pouches
http://skyrim.nexusmods.com/mods/16438/?
-Also the Requiem Rebalanced Potion Weight is suggested for more immersive potion weight
2. Skyrim Immersive Creatures http://skyrim.nexusmods.com/mods/24913//?
-Skyrim Immersive Creatures adds dozens of new creatures to enhance your gaming experience. This mod adds brand new creatures which fit in to the world of Skyrim, alongside variations of existing creatures, adding diversity and improving gameplay. There is also a compatibility patch for it to work better with the Requiem mod
3. Climates Of Tamriel - Weather - Lighting - Audio http://skyrim.nexusmods.com/mods/17802/? :
-Greatly improves the lighting weather audio and general look of skyrim for a more immersive experience, it is highly customizable but the default one is preferred as it makes nights and caves dark (provides a use for torches).
4. An alternative to Climates of Tamriel that provides almost no performance drop at all would be Realistic Lighting Overhaul http://skyrim.nexusmods.com/mods/30450//? and it works great with CLARALUX - More and Brighter Lights http://skyrim.nexusmods.com/mods/17605/?
5. These all work very well with Immersive HUD - iHUD http://skyrim.nexusmods.com/mods/3222/? and Predator Vision - Vampire Werewolf and Khajiit http://skyrim.nexusmods.com/mods/22274/?
6. aMidianborn texture remakes : A set of mods that improve textures, these look absolutely gorgeous and don't have a big impact on performance.
There are more mods that i would recommend like UFO - Ultimate Follower Overhaul or Convenient Horses but i think these mods should be enough for a very interesting playthrough.