Also, Escort fucking sucks, but having free vehicles delivered from your garage to wherever you are is well worth the effort.
50 ammo will turn you into a force of nature.
50 caliber sniper rifle you get later on, as well as all the assault rifles. Another good early activity to do, if you're finding things tough, is the Snatch mission in Chinatown, which ultimately rewards you with 3x health regeneration (and which is trivially easy if you've stolen the APC).
If you find the story missions difficult, consider doing the missions that reward you with infinite ammo for certain guns (Fuzz in the Projects and Drug Trafficking in the Airport are two good ones for starts, giving you infinite pistol and SMG ammo, respectively). 
This is invaluable in the later missions, when the cars gets beat to hell after one or two drops.
During the Drug Trafficking and Snatch missions, take advantage of the fact that you can switch cars - if you jump into another car, the dealer/hos will hop into whatever car you're in. The storyline and sense of progression is way better that way. If you possibly can do the gangs in this order: Sons of Samedi -> Ronin -> Brotherhood. You'll be exploring Stilwater a lot and having all of them handy is nice for when you catch a glimpse of a target. Do Fuzz as soon as you can and grab all the Hitman/Chop Shop missions you can. It's basically the essential mod, fixes lots of bugs and performance issues and improves the game massively overall. Also, if you're on PC, get Gentlemen of the Row. 
Try to get the 3 star base jump as soon as possible, too, since the reward is crazy good. You may also want to do Escort in the Red Light District for vehicle delivery. Once activities open up, one of the first ones you should do is the insurance fraud activity in the factories district, and beat all of it's levels for unlimited sprint.
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