Do you - as the hero of this game - pursue the main quest objectives because the lives of many people are at stake, or do you - as a person playing a game - pursue this side objective because you wish to advance your character, find loot, and experience all the content of the game?

If you decide to follow the main quest, you'll be missing out on a lot of cool content. If you decide to do the side quest, how do you justify the fact that the hero of this game thought tracking down a thief was more important than warning an entire city that there's a raging dragon on the loose? This may not be an issue for people who don't care about immersion and narrative consistency, but for those of us who really like to get into our games, it's a struggle between remaining immersed and still experiencing everything these great immersive worlds have to offer.

Dealing with the Dilemma

Developers do sometimes use little tricks to help make it less of an issue. For example, in Morrowind, one of the main quest givers at one point tells you that you should find some work to do. Get yourself some equipment, and strengthen up a bit before continuing with your main objectives. In Mass Effect 3, you're given a Galactic Readiness rating. The more side quests you do, the higher your rating, the more able the galaxy is to defend itself from the invading Reapers. These types of tricks give the player an excuse to put off that all-important task for less important side missions in a way that keeps the narrative consistency. However, there can still be a nagging feeling that you've got more important things to do.