General guideline for quests: go to the area for which you got the most quests. The game is fairly friendly in hinting where to go next. Doing things out of order might cause you to invalidate another quest (e.g. after killing someone, you won't get a quest to kill that person anymore).
If you really want to do ALL quests, search the forum or ask here once you've done the 1st mage quest in the third city, Brimloch Roon. Normally doing the 2nd quest makes it impossible to do the third, but there is a (long) way around that.
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