I enjoy L4D (I really like FPSes). I don't see it as open. It is definitely a led-by-the-nose experience. It's not the destination that's fun, it's how you get there, with a particular group of people at any given time. The HL/HL2 series, as well as Deus Ex and Far Cry (2 was way too repetitive), I found very enjoyable, again, being led by the nose, but having the freedom to wander around aimlessly along the way, as fits my mood at any given time.
The reason I brought up paper and pencil RPGs is because many game masters write up linear campaigns, and often fail to adapt to what the players are actually doing and how they are reacting. Campaigns written by game masters who have story arcs, which may be followed or abandoned, are lots of fun to play. I think the state-of-the-art gaming is not yet up to the task, but Elder Scrolls (turn-based FPS?) seemed like it was going along the right path.
MMOs (I've never really played, just watched for a few minutes, I can see how it can be fun), seem to be trying to go along that path, the path of open-endedness, but there isn't enough for any given player with lots of experience to actually do, other than go through the same set of missions over and over...sounds like L4D?
Now, if you could start setting up your fortress and hold it against random players trying to invade it...