I find it helpful to set a long term vague plan to set your adventures against. I've run several that basically led the PCs from one short term goal to another, that eventually led them to realize the master plot I'd formed way back at the beginning. For example, here's an outline of the last campaign I loosely plotted out:
The PCs' home base would be a once thriving town that had fallen on hard times for over a century; the town had once traded with an underground dwarven city (unknown exactly where it was), but the trade suddenly ceased (no one knows why the dwarves stopped coming to trade).
1st goal: the PCs have to deal with a rash of kidnappings and piracy in the area. When/if successful, they find a local wealthy family is behind it all.
2nd goal: the PCs, in the process of moving against the family, finds that they are actually a group of semi-human monsters who worship the evil Wastri (this was set in Greyhawk).
3rd goal: the PCs set out into the swamps to search out and destroy the temple of Wastri that set up the problems in the PCs' home town. If successful, the PCs will find some superb weapons that were obviously made in the lost dwarven underground city.
4th goal: the PCs try to find out where the dwarf weapons came from, which will lead them into a wilderness of underground caverns inhabited by all the big bad nasty underground races. Clues will lead them to a city of kuo toa.
5th goal: the PCs sneak into the kuo toa city and discover that Wastri's people were stirred up by them; the dwarf weapons were part of the bribe to get them to do so. The PCs will have to deal with the kuo toa plotters. They will find evidence that the weapons came from a clan of duergar deeper in the earth.
6th goal: the PCs look for the duergar clan.. unfortunately, they live deep in another wilderness region of caverns. However, if the PCs are successful, they will find evidence that will point them in the right direction to the lost dwarven city (which is where the duergar looted the weapons from).
7th goal: the PCs will find the lost dwarven city.. which is long abandoned by the dwarves, and overrun with lots of underground nasties. The PCs will hopefully get the idea of cleaning it out and encouraging dwarves to move back there again and start up the trade with their home town, and bring prosperity to it again.
final goal: this can vary... if the PCs want to restore the city, they will have to work with the dwarves to clear out the nasties from adjacent areas (including a small city of drow). If not, the PCs can still have fun exploring the adjacent areas....
obviously, this is a vague outline, and each goal includes lots of side treks. It's important too, to not run the campaign too linear... the PCs may not want to tackle a kuo toa city.. in which case, you'll have to dream up something else wherever it is they want to go. Still, it's helpful to have a long term plan like this.. just don't get too attached to it...