Gameplay happens in both the horizontal and vertical aspects. The primary way of playing "vertically" is to follow the Main Quest. Playing "horizontally" is a more diverse mode: exploring, tinkering with your Equipment, fighting critters just to boost your skills, etc.
In games like Morrowind, there is a Main Quest and a strong Vertical dimension, but the player isn't predetermined to follow it. There is a wide variety of Side Quests.