I was a bit lost at first with what to do. So just went exploring after some pointers from the guys here. Did most of the weeping peninsula (didn’t explore many caves. Will go back though) got some levels under my belt (now level 41 I think) and just plodding along really, not used the map much, apart from general direction.
If I see something that catches my eye I’ll investigate. It’s a good feeling not having to rely on map markers or quest markers. It’s a case of “oh that looks interesting..I’ll go there next !”
Yup, that's pretty much the point, if you read item descriptions and listen to npcs, you'll get bits of lore and the direction you're supposed to go, but you don't have to.
You're never forced to do anything really, the game relies on topography and landmarks to keep you engaged and sometimes there might be nothing there, whereas at other times you might find something like Siofra. Not sure if you've been there already but the name itself is not much of a spoiler anyways.
There are places and things tied to massive ending-altering sidequests but, in a typical From fashion, you're very unlikely to find everything on your own on your first playthrough so don't obsess over it. There's just too much of it.
Even the Tree Sentinel is just the game indirectly teaching you that it's okay to run sometimes
You'll intuitively get a feel for places you're not supposed to tackle yet as they just look more intimidating.
If you feel like looking up a guide to not miss stuff, that's also fine.
Oh, and the map is useful for placing your own markers so that you can keep track of the places you want explore. It also shows NPCs.