One of the first things you'll unlock are Whispers of the Dead. You can complete basic quests to get Grim Favors for legendaries.
- Complete events - Complete dungeons - Clear cellars - Kill 100 enemies in a region - Invoke rituals to summon enemies.
Convert normal dungeons into Nightmare Dungeons for an increased challenge and better loot. You can also upgrade Glyphs for your paragon board.
Collect and craft Nightmare Sigils to spawn Nightmare Dungeons. Each one has a tier separate from World Tiers showing how difficult it is.
Search for side quests you may not have completed yet and trek back. You'll learn more about Diablo 4's world and gain some renown.
Sanctuary is filled with Altar of Lilith statues hiding everywhere. Try to collect them all to get a variety of buffs. Did you know you can even get paragon points?
Here's one example of a buff or "Realm Power" that provides 2 Intelligence to all characters on your account. This can help if you make a new character.
Before completing the Diablo 4 campaign you'll only have the first two World Tiers. Afterward you can complete Capstone Dungeons to unlock more.
The first Capstone Dungeon recommends reaching level 50. (This is the second one) Once completed, you can start doing Nightmare Dungeons and participate in Helltides.