side story quests have a regular shaped arrow.
main story quests have a funky looking one. you'll recognize it when you see it.
Shortly after the formation of the Ebonheart Pact, a Nord woman was given a tour of the Tribunal Temple. When later asked about the experience, she seemed upset. Suffice to say, the Dunmer were not pleased to hear this, and thus they inquired further.
"Well," the Nord frowned, "the priests were very angry and unwelcoming. They kept shouting things at me like "you can't drink that mead in here!" and "somebody stop her, she's running naked!" and "we can't catch her; she's covered in grease!""
Also, there's a zone guide now; open the map and click on the Zone Guide button, which will allow you to select "Start Zone Quest" and give a pointer to the NPC.
Use zone guide on the map screen. It's not fool proof but it usually can show you when to go next to continue the story.
"I bear the cruel weight of certainty. Total, absolute, relentless certainty. People rarely comprehend the luxury of doubt... the freedom that comes with indecision. I envy you."
―Sotha Sil