I have done about 5 of the MQ and was think that i should stop and do some off the other SQ. I am only at level 9.

I would recommend doing some side quests before the main quest as it allows you to experience many other enemies and locals without what i would guess would be a low number of dungeons etc. (cant be too sure tho, i haven't progressed too far into the main quest)

the most fun i have had so far is just running off and exploring any cave/dungeon i pass, not only does this buff up your skills but gives you some really nice loot to play around with. (though can get you into some sticky situations if you encounter certain enemies at a low level)

some shouts are only available through the main quest.

its entirely up to you how you would like to play the game though, but thats how i would play