I tend to have both long-term goals that define the whole campaign, while finding shorter, mini-goals that sustain my interest throughout.
For example, my current campaign is a run for the Iron Crown Achievement (Be Lombard Culture and have a King or Emperor Tier Title in the year 1300). I ended up starting in 769, just because I like the alt-history of maintaining the old Lombard Kingdom against the wiles of Karl Karling (who never becomes the Charlemagne known to history if you mess up his event chain); this led me to adding on the goal to complete a Seven Centuries run.
Well, that goal makes this campaign essentially an endurance one, which means that I need some micro-goals to keep going. First was forming the Empire of Italia (which came quicker than anticipated), then kicking the Ummayads out of France, etc. Mixing up the conquest goals with some building projects, depending on the ruler I'm playing as. One Cynical Scholar started building the University great work, to establish a seat of learning independent of the Church. That led to an inter-generational struggle with the Pope, until I had enough power in my own lands to have some sway over the cardinals. My current ruler is a Lesbian Empress, who survived a turbulent 15-year regency, and is basically going whole hog on bringing in as many nubile lovers as she can, to stick it to the man, as it were.
One thing I didn't expect, but which added some poignancy to the whole narrative arc, was the way that my demense counties continually flip to Italian, and the game always gives Lombard Characters the option to flip to that culture. So, the whole centuries-long campaign becomes the story of a struggle to maintain "the old ways" against a superficially more "civilized" culture. The University and Library I build become the repositories of cultural knowledge, to maintain the name and records of the Lombard people. It was a small tragedy, to me, when the throne was briefly held by an Occitan child, which switched the name of the Title "Kingdom of Lombardy" to "Kingdom of Italy." Entropy and progress are not indefinitely held at bay...
I also have things that I try to do on every run, such as landing my commanders after a successful Conquest. I always think that those who fight on the front lines deserve the spoils. Bonus points if they're lowborn, and I create a new dynasty and see them thrive through the centuries. Honestly, if I can just get my own court stable, I like to watch the rest of the world to see what interesting stuff happens. Highlights from my current campaign include the Shia rising in Bulgaria, conquering most of Eastern Europe, before collapsing after 150 years to a decadence revolt. Meanwhile, the Sunni Caliph is invaded, not by Seljuk or Gahznavid, but to a normal AI horde that successfully takes over Arabia and Africa, becoming a new great conqueror that's currently serving as my dynastic rival.
I guess my advice then would be to see what odd mechanics or things you've never played with before, and make one of those the goal of each of your rulers (great works, societies, religious politics, etc.) This is what I did to learn the ins and outs of the game. Second, take advantage of the funny AI things. Pick a widespread dynasty, and see if you can absolutely eliminate them. Usurp all holdings, murder all claimants, wipe them from the map and the history books.