Nightingale's excellent introduction will see you travel across a trio of small worlds, Byways, as your guide Puck teaches you how to survive. After completing his very simple missions, you'll be able to hop into the next one. Since these worlds are fleeting, and you need to complete them before you can reach the meat of the game and start building your estate, you'll probably be eager to blast through them. But you shouldn't.
Puck's quests will see you learn how to cook, craft, build and kill, before he decides you're ready to put down some roots. What he doesn't do, but really should, is encourage you to explore the Byways. Indeed, you can complete most of your objectives by barely moving from the spot you appear in, but if you go for a nosy around on your own initiative you'll be rewarded.
Take the final Byway, for instance. It's a gloomy swamp, besieged by foul weather and aggressive fauna. Once you kill a few monsters and craft some food and healing salves, you'll be sent on your way to your main destination. 10 minutes of work and you'll be done. But you might also notice a couple of rickety towers rising up high above the trees. You'll want to visit them.
There's no obvious reason to head towards them, and Puck doesn't mention them at all; but as the only structures in the area aside from the portal, how could you not? They're tantalising beacons for any explorer worth their salt.
Climb up their stairs and root around on the platforms and you'll find loads of loot. Mostly resources you've not encountered yet, and probably won't know what to do with—but this is a survival game, so you just know they'll come in handy when you start to craft in earnest. Within the chests you encounter, however, you'll also find some more esoteric goodies. Your first umbrella, for instance, which lets you float around like Mary Poppins.
You won't be able to use them yet, but you'll also find new realm cards that add modifiers to the new worlds that you'll visit after you've established your base, making you tougher or buffing your magical reserves while making it more likely that it will rain.
Other goodies can be found scattered around, not just inside landmarks. The second world, a scorching desert, contains a palatial complex, but I found my first chest just next to some rocks in a nondescript area, so it's worth exploring every nook and cranny. Each world also seems to have its own bespoke resources, too, so if you pick a forest biome for your base, you might not see some of the items you can find in the desert. Exploring these Byways, then, lets you start off with a much more diverse inventory than you'd otherwise have.
That said, you can still just rush through everything to get to the game proper. Your home realm is designed to be a lot more forgiving than the others that you'll visit, so you don't technically need to prepare this much. Do what you want—I'm not your mum. Still, getting an umbrella almost straight away makes Nightingale so much more fun, so maybe just loot a couple of chests at least? Word of warning, though: don't jump off tall buildings with your brolly just yet. You don't have the stamina for it, and you'll feel very silly when you run out halfway down and just start hurtling through the air.