Diablo 4 features numerous side quests which branch off the main quests.
Side quests are usually quite short to complete and can offer some small rewards for the effort. The longer side quests can often expand on the story and lore so they are worth doing.
On the first playthrough, you can miss all the side quests and stick to the main questline. When you complete the campaign and move to the next World Tier, you can then undertake the side quests giving you more to do in the new World Tier.
Side quests are show on the interface with this symbol:
Side Quest Rewards
Because side quests are usually short to complete and there will be numerous available in each zone.
Unlock Conditions
Not all side quests will be available unless certain conditions are met such as completing a prior quest in the chain or perhaps when a Stronghold has been liberated.