Well, since i just began playing the game, i definately dont want to bite off more tan i can chew, so ill just take the answer to a simple question: how come all of the "dungeons" on the map are crypt and such? Ill click off everything but dungeons and just crypts and vaults. Do you have to walk around and find them on your own? If so, that might be even better as long as it doesnt take hours just to find one. But if all else fails i will delve into the depths of a dungeon that will kill me many many times.... why not?
I don't suggest walking. The world is HUUUUUUUUGE. You start with only crypts because cemetaries are publicly known and dungeons are generally hideouts and such- they are all there, you just have to find a map to them or get a quest to go there and you will be given a marker for it. Questing for your favorite guild is the easiest way.
Tip: Mage or not, buy a recall spell. Or at least save a backup before you walk in. Some dungeons have teleporters and such that literally make it impossible to leave.