In a single player game the whole world can be controlled by the developer to expand and contract around the player. If they succeed in saving the town then the local crier can sing his praises and the populace can hold a parade in his honor: “Huzzah for Ballbag123, the saviour of Little Fartling!” you can be the hero because the world is built for you to be the hero.
In a multiplayer setting the world is built so that we can all be heroes, I get that. But when everyone is a hero, no one is. None of your actions can have a true permanent affect on the game world as doing so would take that content away from another player. So, we are all supposed to suspect disbelief when the “Great Dragon of Morcock” who you had valiantly slain all but 10 minutes ago pops up again and starts hurling fireballs: “Hey guys, you know that dying thing I did? That was a joke. LOL”.
Guild Wars 2’s (is that correct use of the apostrophe? My grammar-nazi senses are tingling but they may be off as it’s a Monday morning) personal story is seeking to solve a little bit of this problem by creating personalised story which acts almost as a single player campaign built into a multiplayer context. Essentially, it’s a dynamically evolving personal storyline which you can either play on your own, or drag your friends along as well.
I do think, however, that this is a bit of a plaster (that’s a “band aid” to you guys across the pond) over the actual problem. Shoehorning a single player story into a multiplayer game doesn’t solve the problem of how to tell a compelling story in a multiplayer context. Hopefully, the dynamic events system will go some way to patch this particular hole.