I just started playing yesterday and am strangely drawn in.  My only problem is that I venture too far, save the game, then loose my homebase.  I've restarted 3 times because I couldn't find my starting point.

Haha. I had the same problem when I started so now I make sure to leave a trail and build some landmarks.

I'm building a giant pyramid with torches on top.  Been working so far.

This happened to me.  I wandered for days, alone, fighting nightmares in the darkness.  The only way to go is DOWN.  You must dig as deep as you possibly can, use an iron pickaxe on a cube of redstone, and use the redstone dust to make a compass.  If you can survive that journey, you can find your way to your respawn point.

Before I had my trusty compass, I put torches on the trees that I passed, to light my way back home, Hansel and Gretel style.  Or leave 10-15 meter-high towers of stone or dirt, and put torches on those.

@Ghost  Awesome that there is a way to make a compass, I'm a good ways away from that though.  I'll try leaving torches along my path, don't know why I didn't think of that.

today I was exploring a massive cavern in one of my worlds and I waked onto some gravel and it fell down into a lake of lava, I lost like 20 mins of mining :( 

so what are your horror stories?

I'm thinking of getting this because it seems fun and addictive, but I'm worried that there's no purpose in it?

You just build stuff but there's no goal.

I spent hours trying to get enough diamonds for a diamond pickaxe and then after I finally got it went digging in some caverns only to drop through a very deep hole and die and lose everything I was carrying.

A heap of gold, my diamond pickaxe, some gun powder and a heap of iron all lost.

my story had lava in it...

lakes of the stuff...

@Slimebeast no there isn't any real goal yet* but if you can set your own goals, like I wan't to see if I can make a replica of NYC for example the game can be very rewording, and it's like it's expensive and if you buy it now you won't have to pay half price when it reaches BETA stage and you won't have to pay full price when the game reaches near feature complete status.

* Notch said he was thinking of adding some goal, which may be a giant dragon you have to slay for example.