As I said, I'm still sort of on the wall about this. The good news is that after squeaking through that really tough quest, the one I took next felt really easy.
But it really does seem to be that this game needs "meta-instructions" -- things you should know that the game doesn't tell you. Such as, which quests to pick early on, what to do, or not to do, to prevent the story from jumping forward too soon, how to handle certain specific enemy types, etc. If you don't know about them, you die, and die, and die again. If you do, it's becomes a pretty nicely balanced, quite challenging game.
This would be a so much better experience with just a bit more hinting and guidance -- quest descriptions matched with the level of the quest, NPC's or books or what not with suggestions on how to deal with tough enemies, that sort of thing. I prefer open games to linear games that railroad you through stuff in a predetermined order, but open games *do* need something to guide you. It would even add to the believability of the world.
So, FWIW, here's a list of the low-level quests I've found reasonably manageable but fun and challenging at the same time:
* Circus
* Slavers
* Umar Hills
* Cult of the Eyeless (with a caveat: there are monsters there that'll kill you unless you use a particular tactic; even so, it's nicely challenging)
* Planar prison (*not* Planar Sphere, which was way too tough)
* Flayer murders