When leveling a toon and coming to a new quest hub, my general rule is to get all of the quests, and then start at the top of my quest log and work down. I may even make a special trip back to the quest hub if the reward is particularly attractive. In doing this method, I've noticed mistakes many times as in: "Dang... I could have killed these mobs that were just 2 steps over instead of traveling to the other side of the map to complete that other quest." For the efficiency reason along, I started looking at leveling guides.
For those that have not seen it yet, TourGuide is an excellent add-on for those that are leveling toons. The latest version seems complete for the Alliance, and I believe it's mostly complete for the Horde.
What is TourGuide?
It is an in-game mod that guides you to be more efficient in your leveling process. The creator has loaded a leveling guide that will tell you when to get quests, when to turn them in, and when to go the next area. It automatically brings up kill/collection quest status for you for the next quest you should be working on, and there's generally coordinates of where you should go to complete the next step.
Do I have to do everything TourGuide says?
Of course not. There's things I skip, but I generally try to stick with it so that I don't miss any first quests to those important chain quests that I'll want later.
Why don't you just use one of the Leveling Guides from some web site out there?
Well, this is from a web site. :) But I found that this in-game mod that automatically tracks my quests and locations makes knowing the next step so much faster. No more having to alt-tab out to a pdf or web site to know where to go next... no more losing your spot in said pdf or web site. And multiple toons in those external things? Forget about it. But with TourGuide, it's all taken care of for you.
So, if you're leveling toons and you want to be efficient in your quests, head on over and check out this mod.