I've put so much time into this game it scares me...
anyway, I'll tell you now there is much more you can do in the game than it makes obvious. People's biggest problem with the game is they tend to get bored and give up... but many of those people tend to just dig holes and build things, simply put they play it like its minecraft and its not. like you said it's much more on the adventuring aspect... there are bosses that lead into more bosses, there is a enormous dungeon filled with chests of stuff and guarded by a boss... by doing different things you can unlock NPCs to move into your house or village and they all have their own functions.
basically in the start you will just wanna start making a decent house and some armor. this part is pretty much done the same as minecraft, chop down trees, dig up dirt, etc. for general info on... anything, check
here .
um... trying to think of what to really say, there is a lot to the game so i could be here for a while if i really go into depth XD. the basic flow is this: make house and armor out of wood or copper or other basic materials (see wiki for what officially makes a "house", guide npc also helps out a lot).-- start fighting monsters and exploring either the upperworld or dig... and dig... and keep on digging, and find lots of random materials and magic items etc etc. (this is really the major thing of the game, there are a lot of big mobs underground and biomes like the underworld [stay away from there till later on] and the underground jungle).-- when you get stronger you can do the first boss fight, eye of cthulu, which will either show up at random or you can spawn him yourself (see wiki).
--after getting better gear both from cthulu and other stuff you can take on eater of worlds, he and the eye will together drop the items needed for shadow gear (good gear).-- after that the dungeon is a good place to go, to get in you gotta take down a 1-time boss and then explore the crap out of a dungeon... and it can be challenging.-- afterwords the underworld is a good target for hunting down stuff--
AND THEN-- once you've pretty much hit the limit of all this, you can take on the keeper of the underworld (or whatever it is) which is... very difficult, or it can be. if you beat him the entire game does a 180 and goes into "hard mode" (note: NOT hardcore mode). everything gets insanely powerful, all new mobs appear and new biomes. theres a new set up 3 extremely powerful bosses... basically the game will suddenly double in size.
of course you dont have to do any of that in a specific order like i listed. and amidst all of that you will unlock and find new items to create houses or structures with, and npcs to get new things from. like the mechanic that lets you make wire systems to control... mostly anything, and pump water/lava from A to B (i filled my entire world with lava :D). also there are invasion style boss fights, where undead/goblins/snowmen will attack your position in huge waves.
anyway... if you wanna know more specific stuff lemme know, this game is like crack to me XD and it is very big and very overwhelming, so be warned when trying to approach it.