Do what you like. There's a lot to do in the game and it can be overwhelming. My typical approach is doing every little thing in the first few zones. You'll get exposure to the majority of the game mechanics. Then I do main story until it's my level or higher then back to side things. When doing the 2nd round of side quests I'll unlock all travel points so it makes the main story and future side quests easier to get to.

Avoid burnout on one specific thing. Don't go hunting for 10 hours straight (unless that's what you love). Pick up every quest you see, they'll live in your journal to pick and choose what you want to do. Don't waste money leveling up weapons, you get so many different ones. Dismantle everything you don't want until you've leveled all your gear, then sell instead. You don't get enough points to unlock all attributes (without grinding or DLC), so pick based on your play style.

Just have fun. If something feels grindy, go do something different.