One thing that I hate in sidequests is when it involves travelling long distances. For example with games like Risen 2 or 3, which are divided into several islands, quests often involve getting something from another island. Why can't quests be contained to the same area?

When they are neither ahead nor behind me, but to the left or right.

I do them whenever it's most convenient, though usually before moving to story quests, due to some side quests being closed off when the story progresses (as some have mentioned already.) I do like to complete most if not all quests in a game, and I feel like I'd be missing too much content if I just barreled through the main story quest to the game's end without exploring the rest of the game. There have been exceptions (I skipped a couple side quests in the first Mass Effect, I've skipped a bunch in Sacred 2 because hell, there are just too many, and I'll skip them if I out-level them and there's no real benefit, unless the story is good enough to just want the lore involved in the quest.)

I do sidequests whenever I stumble upon them.
They are a nice break from the main quest.
The dark brotherhood quests in Oblivion had some original ideas. I believe there was a quest where you had to kill someone by dropping a moose head.

And if its an escort npc quest, I abandon it. Those quests are nothing but trouble in any game.

I do them whenever I'm in the mood. But it depends on the game. Take skyrim, I can spend the whole day doing nothing but side quests here there and everywhere, other days I'm just doing the main story line.
But with the witcher, with how that game works, I normally do them before the main quests, unless I can't really be bothered with some of them. Not like skipping them makes a massive difference in any game.