My preferred paradigm is the "living sandbox" milieu. Draw a hex map, fill it with: cool places, interesting people, conflicting factions, dangerous monsters, desirable treasures, a difficult mystery, and loads of clues. Turn the players loose on the world and see what happens. Make sure the world keeps on ticking like a living, breathing place where things happen — the PCs can impact the world by interacting with it, and when they don't, things may still happen that impact them.
In the short term, each game session is one adventure; when we aren't playing, time passes in-game at the same pace as real time, which means that between games, the PCs get downtime to heal, study, train, etc. But sometimes downtime overlaps with a session, and that's when a player has to roll up an extra PC and expand their personal selection of adventurers to choose from before each game.
Long-term, there are eventually many more PCs than players, spread out over a variety of levels, so that the players may collectively decide on a case-by-case basis to tackle adventures suited to a variety of levels — low-level dungeon-crawls, mid-level wilderness expeditions, high-level statecraft and warfare, or epic-level planar travel and questing for godhood.
But the point of play — the reason we're doing all of this exploration, dungeon-delving, information-gathering, treasure-hunting, mystery-solving, wilderness-taming, castle-building, army-raising, etc. — is to experience the feeling of going on thrilling, challenging, dangerous adventures in a (simulation of a) believable fantasy world with as much verisimilitude as I can practically muster up.