That's one of the great things about the game at least, the freedom to attempt quests in whatever order you want. I try to do them in some sort of logical order, but because the game world is so big I end up getting carried away and finding another area to investigage. I mean come on, when looking for the theives guild I came across a cave entrance, and you just have to go in to see what's in there, saving before you go in of course just in case.