At lower ranks I'd suggest trying out the leves at the camps in the Black Shroud and La Noscea. Sure, it's not as efficient as Horizon behest every half hour, but variety is a good thing! You can rank up quick enough at lower ranks that it isn't that big of a deal IMHO.

At the higher ranks you will be more or less stuck in Thanalan most of the time for battle leves (for the sake of efficiency), so I say enjoy your relative freedom while you can.

And of course exploring is a lot of fun. You might want to venture into Coerthas, in the Camp Glory area you should find some mobs you can kill and you can run there from the Black Shroud near Camp Emerald Moss.