Before running DCC #67 Sailors on the Starless Sea, I had never run a module. All of my prior twelve years gaming was spent playing material I wrote. Looking back, the tendency was towards epic, save-the-world type stories. For all of the fun we had, no one actually ever saved the world. The scope of these campaigns was simply too big for teenagers with short attention spans to ever finish.
Dungeon Crawl Classics RPG has offered my groups a completely different style of play thus far. Every campaign I've run has been a series of episodic adventures where the only real constant is the PCs. This is partially a time consideration. One of my groups plays on a very erratic schedule which makes extended stories harder to maintain.The other reason is that, after nearly a dozen years of never finishing these epic campaigns, I find smaller scales quests to be more enjoyable simply because you can them through to completion with more consistency.
Really, it comes down to the fact that "save the world" is not a good motivation for most players. How many players actually care about the world beyond the immediate situation presented by the GM? Even if the campaign ends with an adventure where the entire fate of the world hangs in the balance, this can never be a starting point. The road to that climax will be marked by several smaller adventures where the players are motivated by the prospect of finding powerful magic items, hoards of wealth, becoming stronger, gaining prestige within an organization, etc.