Am I doing something wrong?

I've played several Bethesda games; Oblivion, Fallout 3, New Vegas, and now Skyrim. I understand that they all are RPGs, and while action RPGs, and reminiscent in playstyle of shooters, should still be treated as RPGs. Nonetheless, I've always felt a sense of clunkiness--with all of them. Changing weapons seems more convoluted than it should be, sneaking/stealth seems to be a hit or a miss, guns (in Fallout) do far too little damage relative to the amount of ammo found, and I overall just feel like I'm "missing out" on playing the game properly.

What am I doing wrong? Don't get me wrong--I can understand why they are all critically acclaimed for possessing many positive qualities, but they all feel damn clunky to me.

Edit: I do, however, appreciate the simplicity in the leveling system. There isn't much effort required. You just play, and get rewarded for using what you like to use.