I've ran a couple of good hexcrawl games. It really is all about unveiling mystery. None of them had a big well defined world to start with.

First one was the PC's were shipwrecked sailors trying to survive with a few other members of the crew who had survived. That one was kind of a wilderness/survival horror thing. Pretty fun up to level 6 but after that it lost some zest so i had them rescued and we started something new.

Second was similar, the players were 1st generation colonists on a brand new continent. So literally the whole point was that they were there to search for new sources of wealth and power for the homeland Columbus style. That campaign lasted a long time and eventually got to where the players were starting their own little forts and townships.

The other that comes to mind was a space exploration game. Basically startrek meets warhammer. Humans were brand new to space and this was a first generation exploration ship. So they had all sorts of fun with first encounters, unknown dangers and hilarious malfunctions. Good times till they got blown up by space orcs.

Basically the players have to know ahead of time its about exploration, buy into the concept and make characters accordingly. A large focus often seems to be on getting obscenely rich rather then necessarily saving worlds and heroics for some reason.