Im going to answer this with a somewhat unhelpful "It depends." My answer isn't intentionally unhelpful; it's just that the nature of role-playing games makes answering your question difficult. Let me 'splain...
With my group, I'd never force them to go from location to location in a specific order. My players expect that they actually have a choice in such decisions. They'd be rightfully upset if I forced them onto some sort of story railroad like that. If a module/campaign was written in such a way, I'd either modify it or not use it.
Now... having said that; if you're playing a convention game or an Adventurer's League kind of game, the game might be a little more railroady. However, that doesn't seem to be the kind of game you're talking about here.
There are also groups out there that don't have the same dynamic as mine. Some groups want to be led from one encounter to the next without a whole lot of player choice in between. If your group is like that then I'd follow the chapters in whatever order the module authors seemed to think was most logical.
In my personal case, I would allow the players to choose to go anywhere they can reasonably go within the realm of the fiction. If the module proscribed that kind of thing from happening, I'd modify the module.
Part of why it's so hard to DM Out of the Abyss is because it is a branching adventure- characters can go from Velkynvelve to just about anywhere, including Menzoberranzan, at 1st-level, right after the first chapter (talk about "out of the frying pan"...). I encourage the DM to read the first half of the book, at least, so he/she is acquainted with what is going on in each location that can be visited in the first half of the adventure- you never know what the players might think to go! That being said...
NPC motivation - this is one of the best incentives to get the PCs to go to locations. All of the NPCs that ally with you have strong motivations to go home to their respective cities, you can use this as a powerful tool. In my game, the PCs were foreshadowed early-on of the events in one of the locations
But when one of their closest friend-NPCs started voicing out their concerns about wanting to go home, they all agreed to go there anyway. This option, in particular, may sound like I'm forcing them along the rails. To an extent, that is true. But I talked with my players about the option, and it turns out that they really wanted to go because it was interesting and exciting, despite the apparent danger. I pushed them, sure, but they were motivated enough to go there already, they only needed a little push.
If, despite all of the above, they still stray from the "ideal" path, then it's a good thing you've read up on the location before hand, as I encouraged. If you haven't, you still have the time to catch up on reading while you have a travel session where the PCs face the perils of the underdark.
In September 2015 Wizards of the Coast released Out of the Abyss, their third campaign adventure for the 5th Edition of Dungeons and Dragons. This sandbox adventure throws our poor band of PCs into the depths of the Underdark where, with little more than the cloth on their backs, they must make their way past the worst creatures vomited up from the depths of the Abyss.
The first chapter of Out of the Abyss puts the PCs in, quite possibly, the worst situation they could start in. The PCs have been captured by a drow raiding party and are currently held prisoner as they await transportation to Menzoberranzan to fill in Gods-know-what role. Sacrifice? Slave? Who knows.
Our band of level 1 PCs find themselves caged with few items and surrounded by drow guards, elite soldiers, and quaggoths - giant hairy nasty creatures. Any of these creatures are more than a match for the PCs even if they were well armed, and they certainly are not. Combat as a means of escape simply isn't possible.
"Killer" DMs are going to love this and it might even be loved by players who enjoy tough challenges. Others, however, might not get as much joy from it. 1st level 5e D&D is already rough and removing their weapons and equipment doesn't make them feel any more heroic or powerful.
Don't be an ass. Don't punish PCs for things they can't really control. Don't kill them over and over, particularly as this adventure begins at level 1. Make it clear to them that combat isn't likely to succeed.
If you want to be nice, consider running them through an intro adventure that gets them to level 2 or 3 before they're captured. Phandelver from the Starter Set works well for this purpose. If the PCs are level 3 when they begin Out of the Abyss, combat suddenly becomes a potential option.
If you DO choose to run your PCs through an intro adventure, don't try to shoehorn in some scene where they are all captured by drow. Few groups enjoy a battle that's one-sided from the beginning. Instead, just fade away from their last victory and then describe how they awaken with little memory of being captured as drow sleep poison tends to steal away short term memory. Since you have to railroad them into prison anyway, just do it and get it done.
Given their precarious position, good players will come up with interesting ways to learn about and eventually escape Velkenvelve, the drow outpost of their imprisonment. Reward these ideas. Don't shoot them down if they don't fit the story you had in your mind.
As DMs, we'll get the most out of this adventure if we don't plan things out and let the story grow from the decisions of the players when facing the situations in which they find themselves. This gives us excellent practice at learning to let go and watch the story evolve as players make choices and the dice hit the table.
There are a ton of NPCs in Out of the Abyss and it can be hard for both you and the players to keep track of them all. Write their names down on 3x5 cards and keep them on the table so both you and your players can keep track of who's who. You can also associate them with a particular miniature if you have them on hand. Physical representations of each of the NPCs can help keep track when there's so many of them.
Given the chaotic nature of the first chapter, it's likely not all NPCs will survive and the number of NPCs the party will interact with over the rest of the adventure will be cut way down. That said, even if the party loses track of one of the NPCs in the chaos of the battle, that NPC might come back later on in the adventure. This is a nice reward for those players who take the time to remember them early on.
As you introduce each of the NPCs and perhaps include them in various scenes, keep track of which ones seem to resonate with the players. Do they like Stool the myconid or find Sarith's grim nature alluring? Take note of it. You can give players a good idea about each of these NPCs through conversations taking place in the jail and by including different NPCs in the various odd-jobs the PCs might undertake while they learn more about the jail.
The NPCs who can aid the PCs in their initial escape into the Underdark might be particularly useful. Ensure they players at least have a chance to get to know them. If they could care less about them later, that's fine too. It is nice for them to have the opportunity to meet up with a useful guide, though.
If you DO decide to go with the survival horror theme, enjoy the tyranny of inventory management. The PCs may find themselves running into the underdark with a 10 gold piece gemstone, a length of 5 foot of spider silk, and an ornery poisonous spider. How they survive against Demogorgon and Zuggtmoy with five feet of spider silk is the fun of an adventure like this.
If you are a DM who tends not to track things like food or spell components, you may want to for this adventure. Starvation might be a real enemy and a big motivator for the choices of the PCs. Enjoy the tyranny of inventory management and watch how it affects the story.
Out of the Abyss is all about the rising of the demon lords. Foreshadow this with nightmares and visions. Demons attacking Velkenvelve can be a great way for PCs to get a shot at their escape. Seeing flocks of Vrocks attacking the stalactite towers will bring a good deal of fright and atmosphere to the situation. Use the right opportunities to present the theme of the adventure.
It can help both you and the players if you embrace the idea that this campaign plays out much more like a survival horror game than a game of high adventure. As one player put it, this is the "Dark Souls" of D&D. Choices matter. The land is dangerous. The PCs can easily find themselves lost in dangerous caverns without even food in their bellies. They might not have decent weapons for some time. For players who enjoy this sort of game, this can be a blast. For others, it might take some discussions for them to appreciate it.
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New Heroes
Rules and background for 14 new Living Legends from factions all over Mantica, from Artakl the Gekkotah Clutch Warden to Dravek, the Abyssal Dwarf Iron Caster, these heroes can be included in your forces during the campaign.
New Formations
Combine certain units in a battle for a bonus on the tabletop. These formations were created by the Kings of War Rules Committee and are built upon the existing background for each race.
New Scenarios
Fight in different battlefields across Mantica, from the Elven Twilight Glades to the Edge of the the Abyss itself! These specialised scenarios set the stage for the most pivotal battles of the campaign.
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