I totally agree with Dulkan and jordie, so I won't go into it.
But I fear that I would mess up the storyline if I join the College first.
Well, that's something different.
While you can do the storyline as the very last thing in skyrim (which is exactly what I did on my second playthrough), you CAN miss a part of the storyline.
Without going deeper into it, there comes a time in the mainstory, that tackles the current civil war which you just witnessed in Helgen.
That being said, there is a questline,
where you choose a side and actively participate in the war. At the end of that sidestory, you will end the civil war, completely defeating the other side.
If you've done that before the mentioned part of the mainstory, you will just skip it, which is rather sad in my opinion, so I recommend doing that part of the story BEFORE you do the sidequest, which, if I remember correctly, won't be influenced by the mainstory.