I tend to just follow Joana's WOTLK Horde Leveling Guide, but if I run into a particularly bad collection quest, or if traffic's just too busy with competing players, I will just move on to something else and come back later.

I find that the big benefit of a guide is that they point out the places where you should be stacking stuff up. Very often, if you have a collection quest, there will also be other quests for killing the mobs or those mobs nearby to the collection stuff, but they may not be from the same quest givers. The "go here and accept this, that and this, before doing those, go here and pick this up, now you do them both together" type of advice really helps.