November 18, 2011 11:41 AM EST
It depends for me, on the urgency of whatever quest I have. I've just completed diplomatic immunity, but it took me a while because once I killed that dragon near the west tower, it seemed like there was no rush to go to the next quest, so I began exploring and doing side quests, eventually winding me up in the dark brotherhood (sweeeet). So I leave it up to my character, based on what he would do in the given situation. Rush to find out more about himself and the prophecy, or explore his homeland and all it's glory