I think I follow the typical route - head to riverwood, do some smithing, grab faendel as a follower, do the bleak falls barrow quest, head to whiterun and talk to the Jarl, turn in the dragonstone and kill the first dragon. By that time i'm usually around 6th or 7th level. Then depending on what type of character I've decided on, I join one of the guilds. I usually don't jump back on the main quest til around 15th -20th level.