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Well, It depends on the game.

I preferred the Mario Galaxy series over the older series simply because of the linearity, it was much better to have a single objective than to be lost and have no idea what to do next, or I actually preferred Metroid: Other M's linearity over Prime 3's being lost and having to explore very single corner and backtrack a TON.

But in a good RPG I prefer it to be kinda open, or in an adventure game like Zelda.