I have trobule starting any sidequests at all. The main quest puts so much pressure on you, you can't even sleep well.
My problem is this:
Leaving Helgen Ralof tells me to meet his sister in Riverwood. Playing an imperial, I have no friends (save Ralof Half-of-a-Friend), no money and most importatntly no idea.
In Riverwood Gerdur asks you to inform the Jarl about the dragon, else the village will be defensless. OK, it's pretty important and they were all nice to me so I do it.
Meeting the Jarl turns into another pressing matter, (fetch the stone to Farengar) and he tells me this is very important and urgent. Ok, I'm off to get the stone.
Meanwhile, people here and there talk to me about their misery (possible sidequests) but I'm kinda busy running the all-so-important MQ here, sorry.
After bringing back the stone you don't even have the time to fart, a dragon attacks the watchtower, and everybody (including me) runs off to defeat it. Without
throwing any more spoilers away: it goes on and on. Always something very important and urgent to do. I have a few sidequests in my journal (I'm a sinner: I listened to some
gossip at the inn before taking a short nap), but - considering roleplaying - do I really want to chop some wood or running after some nanny's lost hanky when the dragons have
returned and it looks like I'm someone very important to this event?
Looking back at Morrowind it was so easy and comforting: Cauis told me to go out, make a name for myself, get a job, get some experince.
In Skyrim, every time I deviate from the MQ I feel guilty.

Opininons? When did you guys start picking up sidequest?

On most of my characters right after the first dragon fight. but at the moment me and my friend are doing all the things possible(dungeons, quests basically everything) in each hold 1 by 1 and straight from getting out of helgen we went straight to falkreath

Not me... I've noticed something about the dragons... They don't show up again after the opening of the game until you actually start DOING the main quest so I just avoid it until I feel like doing it...

Well, after Whiterun it kind of slows down with the urgency, in the case of finding a certain artefact you can easily make this into a "quest-for-the-holy-grail" kind of thing where you actually weren′t told exactly where this place is, and you travel around Skyrim searching for clues...you have to stretch the imagination a bit, but not too much like in Oblivion where you have witnessed the emperor being murdered by a doomsday cult and the prince of destruction is opening the gates of hell all over Cyrodiil and you are the only one who can help Martin to restore order...but you just had to burglar a few 100 septims worth of loot to please your fence in the thieves guild first...

Yes, finding the horn was my first real excuse to deviate. Still felt a little guilty thou. Nevertheless, your opinion is such a relief.

Explanation: Riverwood is known to you since Ralof guides you there, Whiterun is the same, Ralof and Gerdur tells you how to get there. Again the barrow is revealed by Ralof, and the trader's sister even walks you halfway. The watchtower is a group-hug with Ireleth and 4 players from the local team (aka she will lead you there) and the tomb with the horn is the first real location that has only a marker on your map, nothing else. (And while roleplaying we assume that we don't have a map at all... THB I NEVER open my map, only in rooms with maps on display... (like the court wizard room in Whiterun)

The one solution is not starting the MQ at all by NOT going to Riverwood. You talk to either Alvor or Gerdur, you're screwed. Any single MQ mission is a pressing matter.