It all kicks in once you're past the Guardian Stones, and have selected whether you want to advantage your progress as a Thief (Stealth), Warrior (Strength) or Mage (Abracadabra).
From that point on, you're in the Open World, Baby!
You have the main plot line (being the Dragonborn), and it's worth progressing that first, to the point where you visit the Greybeards in High Hrothgar (should be a Home-from-Home for you Sid
). They'll give you your first Shout.
From then, you can pick up and put down the main plot line as you feel like it. No disadvantage to completing it first, during or right at the end. The SE includes the "Dragonborn" DLC, which is the extension of the main storyline, so you won't be able to start that until you've completed the main... But again: no penalties or unbalancing problems with whenever you choose to do it.
The other key Sub-quests:Imperial v. Stormcloaks
You chose whether you wanted to be an Imperial Soldier, or join the Stormcloak Rebellion, when you were running away from the dragon that stopped you having your head chopped off. Not sure if you can subsequently switch, but once Skyrim gets under your skin, you'll likely play it through more than once, so you can experience both.
It's worth getting the Stormcloak Rebellion Quest out of the way early on, because that stops your allegiance to one or the other factions from being an issue when you go into the main towns. Plus, you get to see most of Tamriel whilst you're doing the Rebellion plot, which is handy.
Also: you'll note that there are 10 (or so) major towns dotted around the map, none of which you can fast travel to until you've visited them once. However, outside most of those towns will be a stables, where you can buy a horse (an old nag usually... Will keep you going until you get Shadowmere (you'll see
)). But there is also (at most stables) a guy with a cart, who for a small price (20 or 50 gold) will transport you to any of the towns. It's worth doing a tour of all the towns to begin with, because then you'll be able to fast travel to every one, and that'll help you get around Tamriel a bit faster.Thieves Guild
Prolly my favourite. Think I always do this one first. Really rich and well-written. Good way to build up some seed capital. And at the end of it, you get some epic gear that makes your movement all but invisible.The Dark Brotherhood
Assassin's Guild basically. Another richly detailed sub-quest... And you get Shadowmere as your horse by the end of it: and Shadowmere is a bad-ass horse that stomps all the irritating fauna that pesters you whilst you're out and about in Tamriel.College of Winterhold
Mage's questline. If you're feeling wizardly, this is the one for you.
Definitely worth doing at some point, and I usually do it early on. Main advantage to having some Mage skilz is that there are certain moments in the game where you get disarmed of your weapons and armour. But you can't have your spells taken away from you. (It's why Martial Arts trumps Firearms: if you're a Martial Artist, they can't confiscate your weapons without performing amputation.
A number of individual quests that don't have to be done sequentially; but are worth doing, particularly if you have fond memories of playing ES-IV:Oblivion - which I do!
Aaaaand a whole bunch of other side- and incidental quests, which you'll pick up as you go along.
Will keep you playing forever..!