Well, there's the standard "save the world" goal... I've run a few of these kind of campaigns, and I've found, as I acquire experience at it, that the focus of this kind of campaign has switched from "'Da Bad Guy' is threatening to destroy the world - kill him" (I'm sure it's everybody's first mega-plot) to a more complex and involved kind of plot, in which the players don't get handed things on a plate... Ask my PBeM party!
Another classic is the 'recurring enemy'. The low level players offend/thwart a petty villainess in her first tentative steps towards a master plan (say, trying to take over a small merchant house in the city). Villainess is mightily p**sed at this, and proceeds to be a thorn in the party's side for the next ten levels, gaining experience and power as they do. Throw in a fatal fascination or two (she is mightily smitten with the party's paladin, say) or even a family link (one of the party's a relative of hers) just to add spice, stir well....
Similar to that is the "all-pervasive' enemy, a mysterious shadowy organisation (say a slave dealing ring) with minor political aspirations that seems to be everywhere. In the early stages, about one in every two adventures the party has is generated one way or another by this group, and slowly the party begins to put two and two together, until at higher level they are seeking to wipe out this organisation...
Or how about the vengeance quest - an NPC close to the PC's is killed, and the PC's seek vengeance, following the trail of the NPC's killer through various places, organisations etc..
Hey, I just thought (I'm typing this on the fly): Combine all four.... NPC close to PCs is killed because she found out too much about the all pervasive organisation (APO). PCs start on the vengeance trail, and inadvertently thwart the recurring villainess (RV) on the way. APO recruits RV (they share a common cause of wanting the PC's out of the way) - better, APO assist RV without revealing that they are the APO. Also da bad guy (DBG) is using APO to further his plans for world domination, plans which RV doesn't necessarily agree with when she finds out (although it may take the PCs time to discover this (they may think she works for the APO), and also to find out what it will take to make her change sides - maybe the NPC is a relative and the RV mistakenly blames the PCs for her death). Maybe factions of the APO don't agree with DBG's plan either...