I usually interchange my role as GM and player, as I enjoy both.
I prefer a sandbox, impromptu style of campaign that takes place within a well defined world. The players should be able to decide what they want to do, and where they want to go based on story prompts given by the Referee. I believe the story is created through play as apposed to some preconceived narrative structure; play to find out what happens I say... As such, I usually enjoy games where players are involved in the decision making and have the tools to do so. This immersive approach allows the player characters to grow in a world they are wholly part of and are able to influence.