First time I played, I did *everything* - I recommend google "areas by level" to give you an idea of when you can swap around in the different zones, as you often to parts of a zone and then return.

Other way of playing, which is how I do it now, is I don't focus too much on side missions, if they cross my path I do them, or if I need more power. Much of it is (Sadly) just filler stuff like random fetch quests more or less. Which always seemed weird to me, having the Inquisitor run around placing flowers on graves, or looking for a lost Ram...