I tend to run very linear campaigns, but some DMs do not. Some DMs prefer more open-ended campaigns.
Linear campaigns are nice, but they have drawbacks and difficulties. To clarify, in linear campaigns, the characters generally know "What do I do now?" and have a distinct path to follow.
The things you have to watch for is #1, leading them too much. If you drop hints right on the player's nose too often, they quit roleplaying, and just wait for you to throw the next quest at them. #2, not leading them ENOUGH. A player can quickly get frustrated if they have no idea of what "they're supposed to do" , ie "NOW WHAT???"
Usually, you can keep players from asking the "NOW WHAT??" question by keeping them motivated. For example, if the party just got through defeating a band of undead lead by a Vampire that was plaguing a local city, the Paladin of the party will be eager to take on a quest to find out why this Vampire was starting up trouble (if there is evidence of a larger plot). A fighter who is simply playing a traveling adventurer/mercenary with no huge desire to smite evil simply because it's evil will need more motivation as to why the hell he should follow this Paladin around (perhaps reveal to him the Vampire's hidden lair has rumors of riches, or that this Vampire is responsible for killing his father, mother, girlfriend, whatever)
Basically, EVERY character should be involved in the plot. It's okay to have a "lead" character that is central to the main events of your campaign, but keep the other characters interested.
And for God's Sake! Prepare enough game ahead of time so that you don't have to "DM by the seat of your pants" very often.
Also, have contingecy plans on hand for if/when your characters deviate from the expected path.
The worst deviation I ever had was when the characters returned back to a town they had left on a minor quest. A noble that they had a brief protection contract with was about to be beheaded in the town square. I expected the PC's to try to convince the local magistrate to hold off sentencing... or SOMETHING. Instead the Evil druid of the party commenced Call Lighting on the city guard. This began a battle that resulted in many many casualties, the characters fleeing the city, blah blah blah, it was awful.
