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What can be said is that every place has content apart from the looting/killing or some kind of narrative. (Excepting passages and similar places, since its function is to ease the movement through the map.)
*Citation Needed
Major questlines dont normally break from exploring, but there are a couple of minor quests that could be rendered undoable.
Places which have quests that can be started elsewhere will typically find an excuse to assign them once you're inside.
Exceptions are rare, but as Docsprock says, those locations will lock you out completely until you have the pre-requisite quest anyway.
The only quests I'm aware of which'll send you back into places you've already cleared out are the "radiant" ones, where the game pretty much just picks a place for you to go randomly. Though I suspect there's a mechanism there which at least tries to pick places you haven't been to yet, if any are available.
In short, if you see a place, feel free to go in right then and there.
The only complaint I have is that the reward for clearing a cave is so poor. Chests, some requiring Expert lockpick give up 3 gold? Not worth the effort. You spend an hour (reatime) clearing a cave and exit with 120 gold. Ringy dingy.
But some of the most amusing quests are only found by going into caves.