Are you changing the difficulty level to suit your play Dem? The game is designed to make sure that you're never dying all the time (hence so many increments of difficulty) so experiment and see what's comfortable. Then as you get better gear and move towards Legendary sets just knock the level up.
As for the map, the game encourages exploration which is why it uses the fog of war and doesn't have an A to B marker.
Which class do you play by the way? There's tonnes of theorycraft sites out there to get build info for helping maximise damage.