How I usually do it is I finish the companions quest line first, then visit the greybeards, then do all the other side groups, do the main story til I get the elder scroll, then work on dawnguard. Then I do the civil war, and then finally finish the main story.
With dragonborn out, I still plan to do all that first, saving it for last. But it's really up to you. There in an event that happens in the main story if you haven't completed to civil war quests up to a point. But that's the only notable difference that comes to mind.
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