I personally enjoyed the dark brotherhood quest line the most because it had a lot of twists and it kept me interested. I think think that you should do whatever your character revolves around for example if you have a warrior type character do the companions first, assassin = dark brotherhood, mage = college of winterhold
A low level mage attempting to pursue the College questline will have a hard time indeed, and may be forced to abandon it for later.
Most quests are rather boring killing missions by themselves, so enjoy getting there and take your time.
It isn't possible to say which is the best quest line, 'cause it depends on what you like, and there are high points and low points with most of them. Some are bland and totally unessential and not worth the rewards, but there are so many quests and and so much hidden stuff that I don't think anybody has made a list of the quests that are Totally Not Worth It.
If you want to follow the main quest line, see the UESP wiki, search Main Quest. You can identify quests by the glyph either side of their name on the Journal.
The early DB quests were very boring for me. It gets better afterwards.
Bear in mind that there are Radiant Quests given by the various Guilds which are generic and infinitely generated, a cheap way to add content to the game... But if you ONLY stick to the main quest you'll miss out on a lot of fun, experience and unique items, and you may have a hard time finishing that main quest.
Once you've done quests for all the guilds you'll get an idea of what and who you like . For example, when the Blades demanded that I kill somebody I really liked, i just abandoned their quests.