A bit of both is optimal. I like having a strong narrative and direction, but if I want I would like to go off the beaten track and so whatever for as long as I deem. Sometimes just following the story can get dull and similarly just free-roaming with no direction can suck.
I enjoy a non-linear game with the option of linear gameplay should you wish to play it.
For example, a sandbox MMORPG with a strong linear storyline you can play through, but do not have to play through to enjoy the game and progress in it.
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