Role-playing games are very much a matter of what you put into them. The traditional dungeon crawl doesn’t have much story to it: a party goes in, fights monsters, wins treasure, enjoys success. But it also doesn’t require a lot of setup, either. On the other hand, you can develop a rich world with a lot of depth, put together complex situations, and turn the players loose to interact with it. (e.g.: The game world of Glorantha has a very detailed mythology, and I’ve heard a lot of interesting stories come out of campaigns in that setting.) Creating a story is a lot harder than mapping out a dungeon and populating it with monsters, though; I’ve been a GM for going on 20 years now and am still figuring out how to keep things engaging for the players, putting in just enough hints that they’re having the fun of figuring things out without the frustration of being stumped, and creating situations in layers that are gradually exposed as they interact with elements from each layer.