To be honest, I've never done any challenges, legacies or proper stories - I find myself utterly absorbed in creating characters, creating their settings e.g. building/remodelling houses. Building takes a long time but can be great when you've got an idea and try and make it look the way you want it to, and creating houses round characters helps you get an idea of what they're like, how their skills affect their lives and vice versa, what kind of paths they want to follow... I've got loads of games on the go where I spend ages creating these characters, living their lives for a bit. There are goals, obviously, but there's no punishment, no failure if you can't manage it in time - you just carry on, like life itself. And then, once I think they're happy, and on a good path (or supremely successful and no longer in need of the overseer, i.e. me), I tend to lose interest and start with another family.
Another thing I like doing is creating bunches of households and replacing the population, or some of the population of a world I want to play, and watching them interact. I suppose it is a kind of 'story-telling' way of playing, except I'm never quite sure how the story's going to pan out. Or maybe sometimes I do
That's the great thing about this game - it's so open-ended. The structure of rules and goals works for a lot of people, and can be great fun, but the possibilities are genuinely endless. Like the idea of a dynasty, but not some of the rules? Change them! (You then can't put it up in the Hall of Fame, but no worries!) Want to create anarchy and destruction? Put crazy childish sims in with noisy, aggressive dogs and cats, and watch the mayhem unfold! Want to get ALL THE AWARDS? Well, good luck trying
(Maybe turn off aging for that one.) Get to the top of a career you've always been interested in. Have 50 best friends. Run around picking up jewels from the ground all day. Fight a mummy (or create a simself of someone annoying, and argue with them)! Kiss a vampire! Go offgrid and grow or catch all your own food! Become a world famous singer, with as many different outfits as you can try on, and a house your pet Chihuahua gets lost in!
You're free to do what you want! Enjoy it!