I ran a game of D20 Modern: Urban Arcana a while back, and the premise was that the heroes were battling a conspiracy headed by the last chromatic dragons in the world (posing as the board of a multinational corporation). The idea was that the game would eventually lead to an apocalypse that the heroes mitigated but didn't prevent. The bad guys failed to destroy the world due to the heroes' sacrifice, but the world was kinda ruined.
Then, the next run of the game was supposed to take place with the next generation trying to survive in a post-apocalyptic wasteland (sort of a Shattered-Lands-esque setting). It never happened, though, because the players lost a lot of enthusiasm after the big plot they started ended the way it did. I think it left a bad taste in everyone's mouths.
So, maybe it's just a logistical preference. Or something else. I've definitely enjoyed zombie apocalypse games that follow from the beginning right through to the end of civilization, but I suppose I like the quieter, more personal plotlines that come when the action isn't world-shattering. Now that you point it out, I'm not sure I can put a finger on exactly why I feel that way.
Meh, anyhow, a good enough GM with a good enough plot and good enough players can make
any storyline a lot of fun to play. Except maybe
Rifts--I can't stand that game