I find that doing some of the city quests before leaving town very helpful in powering up a bit before getting to far into the game. I always do the copper cornet quests (plus sewers and slave holding area), the bridge murders and the quest where the man is buried alive in the cematary.
I also do the circus quest (very easy and nice and short). I find that these are the quest I complete early on with ease. Some of the Temple distict quests are quite hard, avoid them till later.
I then do Nalia's quest to get a certain weapon and also the xp, after that I seem to be able to pick and choose.
Hope that helps
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