This is one of the reasons that I think games having a Mission Statement is so important: it tells players what Staff is interested in focusing on and what they should (generally) build their characters around. It sets expectations right off the bat, and lets people decide if it's the game for them. For example, here's our Mission Statement from The Savage Skies:
Fly the unfriendly skies in airplanes that never were, casting spells, dodging dragons, and fighting fascism in the late 1930s. Characters will be members of a "free" militia, The Sky Guard, secretly serving the interests of the French and British governments from an airship base. They will crisscross the Continent finding high adventure.
The Savage Skies MUSH is a game of dieselpunk adventure and modern fantasy. Players might be flying against air pirates one week, gathering information on Nationalist Spanish movements the next, trading spells with minions of the Drachenordnung another, and then treating with a great dragon to convince it to join the cause at the end of the month.
All characters will be explicitly tied to the militia group at the heart of the game, either as a fighting member or one of the smugglers, informants, and hangers-on that work directly with them. From there, you'll work together with other players to create your own adventures within the setting and metaplot provided by Staff.
It tells players that we're going to be focusing on action, adventure, and spy-work, that they all have to be part of the militia, and that they'll be at least partially responsible for creating fun (although Staff will be providing metaplot). It also gives Staff something to go back to for all their major decisions and ask, "Are we fulfilling our Mission Statement with this choice?"
To @Devrex's actual question though, I play for pretty much the exact same reasons as @Pyrephox -- I want to have cinematic action and drama, and to contribute to the plot of the game. I want to see the game world change because of the actions of my character. It doesn't have to be a -big- way, if my character contributes some lasting slang or creates a location that people use, that's enough. I want my character to succeed against NPCs about 2/3 - 3/4 of the time (more or less) and about 51% of the time against PCs (or more truthfully, I want outcomes between PCs that make sense ICly), and I OOCly want to be told when something is simply impossible -- I may have my character keep trying it anyhow, but at least then I know they'll never succeed.