I started out pretty much by getting to Whiterun and hooked up with the Companions. I did their quests and dabbled a bit here and there along the way, before going pretty much 'loner mode' after the Companions quests were done with. Im now lvl 34 and decided to go up the Throat of the World to finally meet the Graybeards for the first time...
After doing about 4-5 steps of the mq, I′m now feeling a bit stupid for not doing it earlier. The quests are actually really cool and immersive and ofc there are the additional advantages in the form of [spoiler spoiler spoiler].
The worse thing is that I had already gotten myself Dragonscale gear and doing the early mq missions seemed stupid in such high lvl gear. I don′t want to be doing "shady" stuff in a "BOOM! IM THE DRAGONBORN, B*tch" type of gear. Kind of, you know... Breaks the immersion a bit.
So before heading up to Solitude to continue with the quest I decided to put down my Dragonscale and pick up Ebony again, and as I ride my horse north, I can′t help but think that the mq in Skyrim is not like it was in Fallout 3 for example, after which you feel like the game is over and youre just picking up leftovers (in Fallout 3:s case ofc, the game is actually over with after the MQ). The exploration and side-quest-o-rama in Skyrim is so well done, that the mq seems like a prologue in a book. Just a little something something to get you started and feeling up for the ride, before letting you continue to the rest of the story.
So, if there′s anyone here just picking up the game and wondering what to do with the mq, I strongly suggest you do it first and then jump headfirst into the world that Skyrim has to offer.