One type of adventure that role playing games don't really do well - in my opinion - is straight-up exploration. In my experience players are too goal-oriented (naturally enough); they want to acquire stuff and glory, they want to complete missions/quests (self-set or given by outsiders) and they want to win battles. They don't just want to head out into the great beyond and see what's out there.
Possibly this is because, let's be frank, many campaign settings just aren't that unique, interesting or detailed. For exploration to be fun and rewarding there has to be a complex, enthralling and entertaining world out there to explore. Yet for every DM willing to put the huge amount of hours necessary in, there are twenty dozen who lack the imagination, time or both.
But also, it has to be said that many of the tasks which one must assume most explorers have to deal with the majority of the time (finding food, keeping warm, staving off disease) are pretty boring and almost entirely unrewarding. (There's only so many times you can roll a dice to see if you caught malaria before it gets old.)
The obvious way around this as far as I can see it is: random encounter tables. And not just of the "3d6 orcs" variety. A genuine random encounter table is more a grab-bag of events, happenings, rumours, vignettes and meetings than it is simple crossings-of-paths with monsters. In an exploration game I see the DM's role as primarily the creative force coming up with list after list after list of amusing and dangerous and interesting episodes, only some of which will ever be used and in entirely unexpected order.
Anyway, to get yourself in the mood for an exploration campaign, you can do worse than reading Hendrik Coetzee's blog. It's a beautifully written manifesto for the adventuring lifestyle - given extreme poignancy by the fact that the poor guy died only a few weeks after writing in his final entry that he'd "never lived a better day".