I remember how in Vanilla WoW I once stood in the Barrens in Crossroads, and I wasn't really sure where to go next. Four directions to choose, which one to pick? I'd earlier seen a village to the east, where I could take a boat to foreign continents. And I remembered seeing some mountains in the west, and that looked interesting. I didn't know where the path would really lead me, how strong the enemies would be, if I'd encounter a larger city or just wilderness or what was going to happen. I bought some meat for my pet as food, stocked up on arrows, and off I went. It was the first time in the game that I had seen such large trees. Steep walls rose up to the left and right, sometimes the path split in front of me.
That's a bit what I've been missing in the MMORPGs I've tried: the sense of exploration. Not knowing what you will find next.
I mean, in most MMORPGs, after you created your character, you press M, and you see "ok, there are invisible walls to the left, right and behind you. You walk the path ahead, there you'll see a large city as it's already marked on the map, and this area is probably some fire / lava land, while that one is snow. Ok", and you know what the entire continent looks like. This bores me. I want to explore.
Or think about Rift. I liked a lot about the game, played it until level 40 or so, and there was zero choice on where to go. Each and every character in the same faction would walk the same path through the same areas again and again.
Is there a game where you truly don't know what comes next?
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Now the game will try to lead you around with the main story but "screw that". Just play it how you want to play it.
I normally just explore and find things. Keep in mind that it's a "grind game" and though it has quests, and though those quests do add up and give you more energy to invest in crafting (if that's your thing) the game is more like Lineage 2 in that you kill monsters for xp.
Still, (and possibly because I abandoned the main quest) I headed out in the desert without a compass (seems I can 't get one unless i follow some main quest) and I generally use landmarks to guide me. Found a really cool place with absolutely no players so it was all mine to explore and fight my way through. Was a bit hard as it seemed that a group would be better but I was game.
I've found several places like that in the game.
Godfred's Tomb Trailer: https://youtu.be/-nsXGddj_4w
Original Skyrim: https://www.nexusmods.com/skyrim/mods/109547
Serph toze kindly has started a walk-through. https://youtu.be/UIelCK-lldo
(back then, when you "created your character, you press M" as you say, you only saw an empty parchment, and you mapped out the world as you explored around)
But you still can turn off quest tracker and indicators, and trying to find your destinations only by the instructions of the NPCs. Can wander all around the world, and find some (actual or lore) treasures in the hidden corners.
Guild Wars, the first one, definitely has a feeling of exploration. The first time I stumbled onto Ice Tooth Cave, wow, that was a good feeling! And sometimes I stumble onto places I'd visited on other characters yet not on the current character and it feels new. There are places here and there that have no part of any quest yet there they are. Fun.
p.s. A qualifier, because of the unique combination of instanced areas, outposts and quests, one cannot just go anywhere and explore, there is a definite progression, but still the feeling of exploration is there.