It's fun to get together with the group, catch up and roll some dice, but I really enjoy the role playing aspect. In particular, coming up with the role I'm going to play with this character.
Now, the backstory does not need to be terribly elaborate, a single hook can be enough to for you to know how to play the character. In one case I was playing a halfling barbarian armed with a warhammer, I came up with the hook that he had been an enforcer for the Hobbit Thieves Guild (thank you Fineous Fingers). With that hook and class, I then decided that as a halfling, his specialty would be kneecapping the opposition, which gave me his nickname 'The Kneecapper'. When the dice rolls showed that the character had noticed the same shadowy figure watching the party as he had seen earlier, the character's response was obvious, the pint sized Conan waked up to her and said, 'I never forget a pair of knees, what are you doing here, doll?' - or words to that effect. Attacking the watcher, alerting the party, or any other option simply wouldn't have fit the character's personality. Later when the party visited a city, everyone else was running around searching for more and more powerful magic items to buy, I gave some thought to his actions. Conan never upgrades his equipment unless it's been broken or failed him somehow, so no upgrades for the Kneecapper. Barbarians like shiny things and blow their money on wine, wenches (a term my wife loathes) and gaudy toys. The look on the DM's face when he asked me what the character was doing and I asked him for a price on having my armor gold plated will warm my memory forever. Sure, I could have gone out and bought a +3 warhammer and armor of never being hit, but that would have been the player buying it and not the character. Nor would it have been nearly as enjoyable for everyone.
Most players seem to come up with at least a sketchy backstory, but character goals seem to have disappeared since 1e. Two of my 1e characters established territories around Lake Whyestil in the original Greyhawk campaign setting. Since then, I haven't seen a game that addresses how these powerful characters can settle down and fit into their society. I think of it as the WoW effect, all electronic games are heavily scripted, the more options they present to the player, the more scripts they can execute, but it's an illusion of freedom, you can never deviate from the actions the developers have allowed. The action the developers allow is for the player to advance his character to evermore powerful levels. Now this makes perfect sense in electronic games, particularly MMO's where the developer or at least the host has an economic interest in keeping the player playing. Breaking this limitation in RPGs adds to the enjoyment for the players. Whether the character retires to NPC status or is simply referenced in the name of an inn their new characters visit on a later adventure, it adds to the sense that they have helped create the world you're sharing with them.
And if you want the character to retire after they've earned enough gold to buy that inn, well why not? A good DM can certainly use that as a springboard to new adventures, anything from catching a persistent burglar to dealing with an infestation of kobolds in the beer cellar.