Yup. That's pretty much what I was going to say.
You don't want to lead your characters around by the nose--you want them to feel like they're in a complete, developed world that's theirs to explore.
Here's some of the strategies I use:
* Some events will happen even if your characters do nothing. For example, if I wanted them to go to the castle and stop an assassination, but they don't go, that plot doesn't just die away. They're going to have to leave town or deal with the turmoil that occurred in the wake of the assassination. No matter where they go, at some point, the news will probably get to them. These plots have a timing of their own, set by the DM before the game starts.
* Some events will happen no matter what the players do. They're like a triggered cut-scene in a video RPG. It might be a specific villian that will just "happen" to be involved in whatever they choose to do--no matter WHAT they choose to do. It might be a plague that comes into town the night after they do (meaning they get blamed, or whatever it is your plot needs)...but the thing is, it doesn't matter if they rush right into town or if they take the scenic route, when they get there, this happens.
* Only make character sheets for important NPC's, or draw out places that are very necessary to the plot. Run everything else off of templates. Just a handful of variations can make a whole town full of houses and people. It seems like a shortcut (and it is) but it means that even if they surprise you and decide to ride through three towns that session, you have stuff ready.
* Allow LOTS of freedom in character creation, but require that every character has a reason to be part of the group, and a reason to care about the group. Maybe they're related to another character, maybe the whole group is a military unit, whatever. There has to be something that will make the group cohesive. For years, I didn't have this rule...trust me, the whole game runs MUCH smoother with it.
* Ask questions about each character, so you get a feel for what will get the character emotionally involved. Then litter your campaign with things that will involve certain characters, giving each one the opportunity to have their own sort of miniature plot arch, that focuses on their specific thing, within the larger story. Do not make these absolutely necessary, though, if you can help it. Characters don't always stay in character.
* If your characters have strong ties to one another, and you know what motivates each of them emotionally, you can usually set up a scenario where the group has to choose between something that matters a lot to one character or something that matters to another. Or you can set it up so that the majority of the group is inclined to go against a strong moral (or other) prohibition in one of the characters. These sorts of internal disputes really get the characters talking and arguing amongst themselves, and promote the very best kind of role play. I know when I've done my job when everyone is standing around the table (rather than sitting at it) arguing in-character about stuff that only matters to their characters. This is just like a novel--the setting and plot are great, but the CHARACTERS are the story. When the characters take over, you're golden.
* Because your plot should be tailored to your characters (IMO), it's usually a good idea to make characters during the gaming session PRIOR to the actual start of the campaign. That gives you time to factor in character-specific details.
* If you plan to lead them by the nose (for instance, I once sucked the PC's into a dreamworld where they had to preform certain feats in order to escape), then give your players enough information that they can make characters who will naturally want to do what you want them to. If you're doing a dungeon crawl, tell the players something like, "This is going to be a dungeon crawl, so make characters with a reason for doing that." My husband ran a campaign based around magical armors, at one point, and he passed out basic (far from full!) details about the armors and said, "Your character has to have a reason to want one of these. I don't care why or which one." For another campaign, I set the rule, "Your characters must have an extremely dark secret, and they have to have one thing they want more than anything else in the world."
* Too many DM's forget that the game exists to amuse the players. If one of my players loves having their character threshing through baddies like nobody's business, I'll try and give them at least one opportunity to do so...even if I have to fudge some die rolls. If I catch a player lying about their own die rolls, as long as it doesn't negatively impact other players, I pretend not to notice. If I know someone is a peace keeper within the group, and that person is playing a character designed to keep the group together, I don't mind if it's also designed to be stronger than any of the other characters in the game...so if they ask for special abilities or whatnot, I'm very inclined to say yes.
I'm sure some people will say that without fair rules, the game is rigged and not as much fun for anyone. But that hasn't been my experience. I keep the semblance of being fair and even rigorous about the rules...but I actually see gaming as a co-operative story telling, where I set the stage and each player controls their character. If they envisioned a character with cat-like grace, but their dice rolls suck, I'm going to make sure they still have at least a moment or two in the sun, where their character really does work the way they had planned. Unless they're really enjoying the clumsy thing. Then I go with it.