I was wondering do i just go to the holds to start quests there, or will I get quests eventually to send me there?

Go to a hold, speak with the jarl's steward = quest and moneyz.

Right but will i get a quest that will tell me to go there?

no.
But the start of the MQ requires you to go to Whiterun's Jarl Balgruuf.

There's a few quests that involve jarls and their holds...for example the main quest tells you to go see jarl Balgruuf in Whiterun. Then there's the quest for property if you have Hearthfire and a few others that require spoilers to tell you about

which ones should i not go to with out a quest to take me there?

You dont have to have a quest to go to a Jarl. They can be visited anytime.

You don't need to wait for an invitation to go speak to the local Jarl; it's safe to do so at any time. When I visit a new city, I usually visit the local shops and then speak to the Jarl/steward for quests. If you want to be Thane of a hold or buy a house, you're required to speak to the Jarl of their steward.