My first playthrough, I went right to Riverwood and then Whiterun and followed the path of the MQ because that's where the game was pointing me. But then as I met other NPCs I got options for other things to do I started branching out, just going wherever I needed to go and discovering the country as I went along.
Did much the same on the second and third characters, but did more things besides the MQ earlier because I knew I could hold off on it as long as I wanted and do other things of interest instead.
Current characters still go to Whiterun to talk to the Jarl about the dragon attack (after hanging around Riverwood a day or two to do some work and crafting and get a better start as far as money and gear) but I don't go any further with the MQ until the CW quests require it. Bleak Falls Barrow goes on the backburner until I'm on my way back to Whiterun for whichever CW faction I joined. I will get the quest from Farengar, I just don't do it until I'm ready no matter how much he complains about it, lol.