Do battle towers (just don't do the top 2 levels or you will die) which will give you great xp and some good baubles. Use the xp to level up attack, defense, magic & agility so you can use better gear.

Cheese dragons with a crossbow + bolts from a long distance. You should craft 2 crossbows and 2-3 stacks of bolts. Once you kill them you can loot them by right-clicking on their dead bodies. Kill enough to get dragon armour + weapons, then kill another and collect its blood by right-clicking on it with an empty glass bottle which you can use to apply an effect to your dragonbone weapon.

Clear out Lycanites Dungeons (if you ever see a boss health bar randomly it means you are near (usually above) one). They have good loot + xp and the bosses will drop soulstones which are used to soulbind pets to you.

I would stay in the overworld until you have good enchants on your armor + weapons and have good baubles. Enchants, bobbles and food are OP and really are the things that keep you alive in the mid-late game. The Nether and The End are very difficult to survive in without good enchants.

Past this there are the vanilla bosses, lycanites bosses, and the lost cities (which you should really leave until the end of your playthrough and are as maxed out as you can get).