I prefer when the main plot follows a very linear and closed line with goals always clear and obvious, but having a lot else todo besides that. With clear goals you know what NOT to do if you just want to explore.
Also leaving events open for as long as possible is good, so players wouldn´t miss then because they noticed then too late.
Also, having large plot events happening in other places of the setting in the linear plot is nice so it doesn´t feel like the world spins around the hero.