College in Winterhold is a really nice place for a budding mage and the first quest is not hard at all, and very doable for a very early level character. You have multiple side quest givers there and pretty much everybody there will have a nice quest that's well suited for a magic user. I think a mage will do well going to Winterhold early. But if you don't want to go there early, the mage in Rifen will have a fun little fetching quest. Farengar, the wizard in Whiterun's Dragonsreach will have a tiny "menial" delivery task for you. Visit alchemy shops in different cities and many will have pretty substantial quests. One in Windhelm, and another in Riften and maybe one in Dawnstar and maybe also one in Falkreth. I can't quite remember. And there is an interesting sidequest in Dawnstar that's also pretty nice for a mage.
Note that alchemy is part of stealth school, not magic school, although it is a very powerful complementary skill for a mage.