Suddenly I'm imagining my final battle in Sovengarde starting very differently...
Aludin: Remember me Felldir? When I killed Hakon One-Eye, I talked JUST LIKE THIS!!!
On topic, I did the main quest first because I felt dealing with the World Eater was a tiny bit more pressing than putting Ulfric in his place.
Dem nostalgic nightmares man, but it was Golden-Hilt who was killed by Alduin.
It seems the guild quests are ment to be attempted early, as they hand you gear related to their playstyle very early on, two cheap/free spells, some enchanted rings for enchanters, and a set of robes from the College, Skyforge Steel Armour from the Companions, and whatever the other two guilds give you. Even the Imperial Legion gives you a free set of armour (yet no-one in the Legion sells any sort of Imperial gear except the bow).