As you can imagine, earlier ones likely sucked.

The latter ones have really been great, and my players love them. We technically have an system wherein we have one person DM one game, then we alternate to the next person, and so on - that way everyone gets to play and DM. However, they always try to get me to DM all of them. It gets annoying, as you want to play sometimes.

As for your second question, I've done it all. Some games you simply come up with an idea for a world or campaign hook and start building individual adventures around it. At times, you have a game where you let the players create whatever they want and then figuratively play on-the-fly, creating adventures on a week-by-week basis. Other times (as with a Star Wars Infinities campaign I recently ran), I have created an entire story from levels 1-20, and then provided for possible divergences on the parts of my players.

An important question here is which system you are using. If you are using D&D 4th Edition, they make terrible pre-made adventures that are simply hack-and-slash slugfests. (This is an inherent problem with 4th Edition as an actual *system*, but that's a different story.)

If you're playing 3.5 or Pathfinder (PLEEASE at least check out Pathfinder it is the best system I've yet to play), check out one of Paizo's pre-made adventure modules. They take characters from levels 1-15, and are the most well-made storyline products on the market (and possibly ever made.) The most recent adventure path is called "Council of Thieves."