Ok - well, first up, your starting zone. I level predominantly Horde so that's what I'll talk about it.

Some zones are better than others, I've found Undead is best, Tauren is worst. Where ever you start, I'd suggest for the first 10 levels you just suck it up and do the collection quests anyway - I levelled Tauren and they were terrible - but the upside is it won't take that long.

As you level higher and higher, you can become much more selective about collection quests. From level 30 onwards you should have at least one other zone to choose from for questing as Blizzard has up'd the XP rate for 1-60 (and probably will again after WotLK). By the time I was level 30..35, I was skipping all collection quests unless there was a good reason to do them.

I'd suggest having Wowhead or some other resource close to hand. If you get a quest, look it up, check for follow-on quests, good quest rewards, good xp or high drop rates, or anything else that might tempt you into a collection quest. If you don't find that, and your quest log has the room, leave it there, you might find you half complete it anyway while slicing through the kill quests like a knife through butter.

By the time you're level 40, things are just sweet - there are multiple zones just bursting with virtually all kill quests - all of them easily multiboxed too - and you'll find you'll speed right along from 40 to 60.

Also - jump into Outlands @ 58. Don't wait till 60, it's way faster in Outlands even just grinding mobs (as you may want to do for rep).

Beyond that, personally, I'm doing EVERY Outland quest. Most are kill quests anyway, and those that aren't I do because I want to hit 70 with as many quests/zones left over to do as possible in order to save up for my 5 x Epic Flyers (all mine for just 26,000gold...lol).

Hope this helps.