Hm, I usually played straight through whatever place I was in, minus the necessary selling/restocking excursions to camp or Denerim.
Spoiler Below I did Bhelen in my first game, as a dwarven commoner, and Harrowmont in my second, as an elven mage. Bhelen has you going around doing sketchy and probably immoral things, but I don't think they were that horrible... and anyway you have a reason to support him as a commoner, so I did them without worrying about it too much. Harrowmont's were fairly neutral as far as I could tell, like entering the Proving in his name.