So the best thing to do if you pick some kind of quest or sidequest (under the menu with miscellaneous) is to try to finished it first but you can freely travel on other parts of the map and add more quest to you inventory. It is reasonable to do the quests and don't travel around and kill as you like. (because you will eventually have a difficult time to finish some quests). (Talk a lot with people, accept every quest if you like it or not if you don't...) (save often and for the best - before every quest you choose.)
The Elder Scrolls V: Skyrim beginner guide: http://www.gamesradar.com/skyrim-guide/
Skyrim Tips and Hints: http://www.gamingreality.com/2011/11/skyrim-tips-and-hints.html
Skyrim Tricks, Tips and Secrets!: http://www.nextgenupdate.com/forums/skyrim/508716-65-skyrim-tricks-tips-secrets.html