Mud up my face, peasant down my clothing and pretend to be one of the common folk and try to get to The Citadel and become a maester. If they don't accept ex-kings or I'm captured on the way then offer to go to The Wall and hopefully become a steward.

Though honestly even if I wasnt being attacked by dragon's I'd try to establish a democratic government and when someone else was elected (Or people were so opposed to democracy that I was driven off the throne) I'd head for The Citadel anyway