I think it's easy to fall into the trap of "lets just wander around and get stuff". I found that in Morrowind I would go to a town, clean it out of anything not nailed down, pick up all the little side quests, and move on. It felt like if I hadn't sold every last spoon and saltrice I was leaving something behind.
But I think about UO and how they had RP guilds and group hunts and stuff, before there was really any framework for that in the code.
And LARP requires a lot of role-playing.
I've fantasized about doing a D&D campaign where there wasn't much direction at all. Meaning, the PCs aren't always approached by worried townsfolk and such. How does a real-life archaeologist find things? What about a sunken-ship treasure hunter? I don't know exactly what a game like that would be like. It would require more input from the players. One player might decide he wants to become a knight, and once he achieves that he might look around for things his knightly order would like to see done. Maybe start his own based on dragon-slaying? But then he has to go out and try to find a dragon or two ...
Point is, it would change the gameplay away from adventuring happening and coming to you, to you trying to find adventure. Of course once they're wrapped up in it I'd have no trouble twisting things up and making it interesting. But doesn't it seem a little cliche to have a grey-haired old man approach the group of characters in an inn and hand them a treasure map? It's almost as bad as the bartender offering them some money to kill the rats in his basement.