D3 has dynamic difficulty - the monsters are always the same level as you, so it doesn't matter. If you want to explore, explore, if you want to push on, do so. You'll always be getting level appropriate gear/XP.
If you find the game too easy or hard you can raise or lower the difficulty setting, but unfortunately when you first get the game you are locked out of all but the first few difficulties, the highest of which is still very easy during the leveling phase. For better or worse, they've focused all their balancing efforts on the end-game and it has hurt the first play experience a bit.
Expert is generally considered the most effficient difficulty for leveling untwinked, but you may find higher levels more enjoyable if you can access them. Once you hit 70 you'll want to climb difficulties as quickly as your gear will allow.