I like to start as an underdog and see how powerful I can get. The Jihad achievement was right up my alley. It was all about building a big blobby nation that belongs to you. There were worthy enemies in the area and a big annoying Ottoman not far away. Some of my typical late game goals were met, disbanding the HRE starting as ROTW nation, and converting Rome (the only true way to end a Jihad run).
Speaking on the late game goals - I find those fun when they're not just pure war, but require some planning as well. Disbanding the HRE by finding alliance chains to get them all at war with you at once is quite fun to plan. Converting Rome requires planning, although Najd does make it a lot easier.
As for WC, I used to think I wanted to do it, now I don't. I don't like railroading in the game, and have no problem with calling it the History Channel. Following a WC plan that is cookie cutter where I didn't take part in strategic planning for it feels like I'm watching the Alternate History Channel. I don't mind getting a takeaway from what other people do, and I enjoy working out strategies with other people, but to follow an entire playthrough template based on someone else's strategy is as bad as watching Burgundy destroy France only to see the inheritance event.
Maybe if my reformed Prussians disband the HRE, own all of Europe, and are partway through Asia at the end of the game I'll consider a WC run sometime in the future. But if I do it, I'll do it under my terms which might use some strategies I've picked up from others but will not be primarily based on it.
On the achievement front I like them for alternative goals to what I would normally do, but I'm not 100% sold on them. In 1.7 I chose Sofala over Kilwa because I felt it was a better start for me (and a funny color to spread throughout the world). I could have played pretty much the same game as Kilwa with the better start position and went for Queen of Mercury. So, yes, they're good, but I'm not madly in love with chasing them.