I read everything, at least the first time, and I try to make a point when I can of talking to side NPCs at all quest steps (example: talking to the Scions in the Sylphlands before following the sylph to Ramuh). You get some really amusing dialogue that way, and a lot of story you wouldn't find otherwise - early on, for example, you have three other adventurer parties heading out to the same initial dungeons as you. You learn the fate of Edda's party through the main story, but only by talking to the older adventurer and his companion (who appears again in the Crystal Braves questline!) do you find out that the second party was brutally killed by the hecatoncheires within Copperbell.