While many would look at Skyrim as a fantasy RPG the story has a heavy political agenda. You're in a world at the brink of a civil war between the Nords of Skyrim and the Imperial Legion of Cyrodiil. The Jarls of the various holds across Skyrim also have their own agendas and corruption can be found throughout the land in all manners.
As the Dragonborn, you can choose whose side to join, or not join a side at all. The beauty of these types of games is that it does not punish you to remain impartial, even if it does limit your options later down the line.