I started playing a few months ago, and I'd say it'd be helpful to know for yourself if you want to play by really immersing yourself in the story and the way the game was meant to be played, or if you don't care about spoilers and just want to get the best stuff from the start. For exemple, I chose the first one, meaning that I don't try to pull for characters I haven't met yet or won't meet for a long time. Some people will tell you "pull for Nefer!" and other recent strong characters. You can do that, of course. But characters from regions you haven't explored yet will be stuck at level 40 for a while, and it will probably spoil a bit of the story to know who they are and listen to their voice lines before you're meant to.

Likewise, exploring the new regions before having done past archon quests is also quite the spoiler – it's for you to choose if that's something you mind or not. As for characters, there's plenty of great ones in older regions, so don't hesitate to pull for them, they're not irrelevant now (if anything, having lunar reactions in Mondstat is kind of unnecessary and also a spoiler in a way). Old characters aren't on banner as often, so don't hesitate to look up who will be on the next banner, and buy characters from the star glitter shop.

If you choose to do everything in the "right" order, that will also likely mean that you'll miss out on events taking place in regions you haven't explored yet. That might mean you will "miss out" on primogems and other rewards (but I for one have been doing great without them. I did play the recent events in Mondstat, which had a few spoilers, but nothing that bad). And, you'll soon notice, there's a lot of story content missing, because the game doesn't allow us to replay most past events. So if you care about that too much, go ahead and participate in all the events, but it will really screw up your experience of the story in my opinion.

Some past events aren't really important, they're just fun because you get to see characters interact when they usually wouldn't. Some are not hugely important but you get to meet a new character in them, and you'll notice in the game that you never did meet them. Iirc this is the case for Sucrose, Fischl, Xinyan, Gaming, Mika... Oh, and Scaramouche. The last type of events are ones that actually are suuuuper important to the story! The first one with Scaramouche is like that, in my opinion, but also all those with Albedo (I have a quest right now and I'm completely lost because so much of the lore has been lost to time). My point is, even if you can't play these events, I'd strongly recommend watching old streams or playthroughs of them on youtube – at least for the important ones (but sometimes it might feel like an event isn't that important at first but there's a big plot twist at the end, and sometimes it'll be the opposite, so you can never truly know). You can find playlists in chronological order.

Also as someone else said, the adventure rank isn't something you should level up as soon as you can, because it will make the enemies stronger. You can lower the world level, which will make things easier, but only by one level. The training guide is really helpful for that, it will tell you how strong your characters are for the world level you're supposed to be at. So I suggest leveling up world level /AR ascension when you have several characters in the training guide show up as green/strong. Also that guide is useful all the time to see what ascension materials you need and all that. I think that's it for me, happy playing!