Open worlds should try this.

[Veknoid_Outcast]

The Arkham games do this to some extent with Riddler Trophies.

But I agree, the sidequests and Shrine quests in BotW do a great job of sparking your curiosity without providing an obvious waypoint. You have to explore a little or solve a riddle to move forward. It's not just moving from point A to point B.