Just about every good fantasy story involves some sort of literal, physical journey. I'm not talking about the metaphorical hero's journey: I mean going from point A to point B to point C. Globe-trotting. Going places and seeing fantastical things. There's even a name for this genre convention: travelogue. Perhaps I think that this is important to fantasy because I was raised on the Oz series, and most of those stories are basically a trip out to one remote corner of Oz or another (or, sometimes, to another fairyland just outside of Oz). But then, the best fantasies (The Hobbit, The Lord of the Rings, and just about any space opera) also involve traveling from one fantastic location to the next.
In RPGs, the journey itself is all too often glossed over, except for the obligatory one random encounter. The general exception to this the so-called "hex crawl", in which the overworld map itself is divided into hexagons, facilitating something roughly analogous to a dungeon-crawl. This, at least, makes a journey feel like an adventure and not a footnote. And it can be an important component of a good RPG campaign, right up until the party acquires an airship or a reliable means of teleportation.
This assumes, of course, that the campaign is one where the players will be expected to travel far and wide and have adventures in exotic locales. Whether open-ended sandbox or more linear travelogue, in some genres the journey is the adventure. But the opposite of this kind of campaign is also the prototypical and aboriginal sort of D&D campaign: the single-site campaign, also called the "mega-dungeon" campaign. Best exemplified in most gamers' minds by the computer game Diablo, the mega-dungeon is an entire campaign that revolves around one town and one dungeon.
I've only ever run one mega-dungeon campaign, and it never properly concluded. It petered out with the player characters reaching perhaps the 8th experience level, and the dungeon only explored down to the 5th level or so. One thing that I noticed about the mega-dungeon: it's far easier to referee this sort of campaign than either a sandbox or a linear travelogue. Everything is inscribed in neat little boxes---rooms and corridors, caves and tunnels. The flowchart model.
A campaign full of journeys takes a lot of work. A site-based adventure, somewhat less so. Both are fun, but in different ways. To be sure, I hope someday to revisit the mega-dungeon model (and when I do, I'll probably try to run it with 1st edition AD&D, just for kicks). But for now, I've got a sci-fi game to run, full of plots and villains and drama that the players haven't quite stumbled across yet.
They've got light-years of space to journey across before they'll get there.