Which quest should I take first in Ulgoth's beard? Should I take to the tour of Durlag's tower, go with the mage who wants you to find his cloak or help Mendel (is that his name?) to go to Balduran's ship and get the artifacts? I want to do the easiest one first and any other hints and tips on how I should stock up and prepare would be useful here to, please.

I would say first go with the mage, since it is the quickest and easiest quest. For a hint, all Il say is, beware of the traps, they are probably the biggest killer in the place. Just make sure you are always detecting traps.

And when you help Mendas.... Bring. Healing. Potions. And. Ways. To. Resurrect. Characters.

And definately make sure you have a tank if you go to Mendas's aid. It helps a lot.
Oh yeah, make sure you've got a certain pair of boots that can be acquired at the Cloakwood Mines with you, cuz it will really be needed here.

You can do Durlag's tower in parts. The top parts aren't terribly hard, and the first dungeon level is more about solving puzzles, with a few hard fights scattered around -- plus some decent loot. The second dungeon level I found much more challenging, but you can always go back up to the surface to rest/sell treasure, then return later. Once you get down to the 3rd and 4th dungeon levels the challenges are much harder and I'm not sure you can get back to the surface until the very end.

Mendas' quest is not to be undertaken without plenty of protection/buffing/healing.