LogFAQs > #980242095

My personal take for progression is something like this:

-Prologue/earlygame (locked to one district): Do every gig and side mission you can. This is to help you get set up with a proper chunk of perks and also used to the combat.
-Advance the story.
-Once the map is open to you, start picking at sidequests and gigs as you please.
-Simultaneously, advance the two paths that don't start from the Afterlife as you see fit (I suggest intermixing MSQ and open world gaming).
-Once shit starts getting real dark and/or climactic, go do the Afterlife critical path for a while. Once it hits a point that seems like shit is really about to go down, return to the other two critical paths.
-Knock out all three critical path major segments in a row.
-Go sidequest more. Advance story as opportunity allows.
-If something is gonna send you to the Voodoo Boys, do this absolutely last. It leads to the DLC and that one is best experienced as one of the last few things before endgame.

There's so much side content you can add in more as you like, so don't feel pressured to do it all in one go. I suggest using the main story as a sort of palate cleanser between sidequest batches, since its setpiece heavy style contrasts well with the more gameplay-focused sidequests.