A roleplaying game can run linearly on rails, following a scripted story, or it can be a completely open world where the players can do whatever they like. I don't like the term "themepark" for the former, as that describes only a subset of it reasonably well, so I'm rather calling it "guided gameplay". As opposed to the unguided or "sandbox" form.

Neither of the extremes is ideal. And as so often it is one of subjects where what people say they like and what they do like are very different things. Blogs and game forums tend to come out overwhelmingly in favor of sandbox games, but the games people actually buy are overwhelmingly guided. And then of course there are a lot of games somewhere in the middle, like Guild Wars 2 for example, which allows for a more sandbox-like experience due to the downleveling feature, but still has the guided elements of the personal story and optimal rewards by following a certain sequence of zones.

It is for that middle I am aiming with my pen & paper Dungeons & Dragons roleplaying game as well. On the one side I want my players to have complete freedom to do whatever they want (and then live with the consequences) in my campaign. On the other hand I've observed that such complete freedom often either leads to the players not having a clue what to do next, or to them doing something and then being unhappy with the consequences.

By definition guided gameplay in a pen & paper game is better prepared than sandbox gameplay. If the players follow the proposed story, they'll run into the planned encounters, and those encounters can be very well prepared and thus be run fast, without having to look up monsters or rules on the spot. Even roleplaying encounters can be well prepared, with me as the DM having thought about what the motivation and goals of the NPCs involved are, and how they would react to the most typical behavior of the players. As soon as the players leave that guided series of events, I have to fly by the seat of my pants. I can make the NPCs react in a way I personally consider logical, in view of what I know about the world and the NPCs in question. But if I didn't expect a situation to arise, I'm unable to give the players pointers in advance on how NPCs are likely to react. And as the players can't possibly have all the information, the response and consequence of their actions might come as a surprise, and not always a welcome one.

So as a DM I can find myself between the Scylla of being too prepared (and thus the story feeling scripted) and the Charybdis of not being prepared enough, and the players running into their doom because they couldn't foresee all the possible consequences of their action. With resurrection being significantly less common in most pen & paper roleplaying systems than in MMORPGs, death has a much more painful sting. Even if players might enjoy the freedom of a pure sandbox for a while, they will be a lot less happy if that leads to their characters dying frequently. And even if the sandbox experience ends well, it might have a weaker (because unprepared) story, gaps in the logic, or unbalanced encounters hobbled together on the fly.

So the very least I have to offer as a DM to my players is that there is a prepared adventure with a prepared story, and pointers on how to get from the beginning to the middle and to the end. But these are really just pointers, not rails. Some NPC asks the players to go somewhere and do something, but the option is there to say no. And that option is more viable than the option to click "decline" on a quest in World of Warcraft, where declining one quest might lead to you being unable to get any more quests in that zone. In a pen & paper game there will always be some adventure, regardless where the players decide to go. But a lot of players instinctively prefer going down the guided path. Full sandbox isn't necessarily the pinnacle of fun, and the players know that just as well as the DM.