Completing quests brings you more fame, which lets you pick up more party members, doesn't it?
Other than that, the quests don't currently give monetary rewards or items or what-have-you. The fun is currently in the "doing."
If killing ettins and such doesn't suit you, try setting the goblins in the raws (raw/objects/entity_default.txt) to invade by changing LIKES_SITE and TOLERATES_SITE to CITY. That will cause their civilizations to try and move into human towns. I've had much more fun defending towns and cities from invading goblin hordes, then receiving quests to go and kill epic goblins that earned their names through the murder of hapless townsfolk.
In one instance, I dropped into a town on a new adventurer which happened to be guarded by a single hammerlord; he mashed most of the goblins into a fine paste by himself (I took out the archers for him), which gave him enough experience to earn him a long title and a blinking "legendary" status. This made him important enough to start giving out quests himself. He gave me quests to go kill likewise-legendary goblins that were still busy ransacking the neighboring towns (based on his own personal enemy list, given all the goblin civs he'd become an enemy of.)
This resulted in delicious emergent gameplay: with all the pieces in place, I ended up first defending, then striking out at the hordes of evil trying to take the human lands, all by making two changes to entity tags in the raw files. It's a hell of a lot more personally rewarding than random cave-crawls.