For a sandbox game, Terraria is awfully linear until the point where you have reached the power of a Terraria god. For me, it went like this:
1.) Build house. Start farming for silver for anvil.
2.) Use anvil to make nice equipment. Farm until you have full copper armor and gold swords and bow.
3.) Kill iChutulu a couple times for nicer weapons.
4.) Break shadow orbs until the EoW comes out. Farm him a few times until full Shadow + Nightmare Pickaxe.
5.) Mine meteors (I couldn't find enough gold to mine them until I got the Nightmare Pickaxe xD)
6.) Finally feel safe to enter jungle (was seen from my chasms), become mighty disappointed in the difficulty, but get tons of crystal hearts and all Jungle gear in a very short amount of time (except for the armor...but really, shadow sounds way more useful).
7.) Farm jungle for gold. Buy Minishark, turn to Star Cannon.
8.) Kill Skeletron.
9.) Get all dungeon chests in a VERY short period of time. Leave. The only thing that now has any difficulty at all is mining in Hell. Even just surviving in Hell should be quite easy.
Some things could go in a different order, but generally the order things go in would likely be the same. And at the end, the only things left to do are grinding for the few useful things left that you don't have (Pretty much just Sunfury, but Blue Moon probably works fine.), spend hours looking for King Slimes for ninja equipment, or building.
ALSO, does anyone know if I set Steam to Offline mode if I could play multiplayer with two seperate computers over LAN? Can't really test it ATM but would like to know if I'll be able to this Summer.