personally, i have enjoyed doing some tradeskills and questing for items as i level but really it's a matter of what you find fun.
For example, i was able to complete the incandescent armor quests on my own and with some help (thanks Synap, Sinai and Kuder!) and get XP in the process, two for one if you will. Check the wiki for quests for your class and see what makes sense.
The first several levels are just a grind in my experience though. it starts getting more fun as you get a bit higher and group in dungeons.
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