I skipped some because I will do another play-through in a few weeks and wanted to try some new classes and save some content. The sidequests are a mixed bag. Two were really cool and a few are just going back to old areas and killing new monsters.
There are Class sidequests also, that's why I will go fighter and rogue instead of paladin and ranger next time. Paladin is a powerhouse in 5e. I also like the ranger a lot. Go criminal background and you can trap and lock just like a rogue. The ranger spell Hunter's Mark is incredible and you get it at lvl 2.
There is one sidequest late game that you get an artifact. Make sure you do that one
The puzzle was kinda hard at first and wasn't any help online because I played the game so early. Just like in the old days playing Might and Magic.