I like exploring. I like going into caves, discovering places, etc. I have killed a few named people and I think those may have been quest targets. Does it hurt if you explore like this? Do people not give you quests that you would have gotten had you explored all the cities first?
You can 'skip ahead' on a few quests (common on "A Night to Remember"), and you can find quest items before knowing about them (some of them will trigger the quest), but in general you will not prevent yourself from getting a quest, that I have found.
However, locations take 30 in-game days to reset. If you get a quest for a location that you have recently cleared out, it can bug. The best thing would be to go around and explore what you want, then 'rest' for 30 days before jumping into any major quests.
One Caveat: Raldbthar has a puzzle near the end of it. If you explore this location fully, before having the appropriate quest, and then return after 30 days, the puzzle will be reset into an unusable state preventing your progression (unless you are on PC and then you can ~tcl through the door). I'm not sure if this has been fixed yet, but I have not seen it in any of the patch notes.