You need two things: setting and plot. The plot is something you have to come up with on your own, unless it is a creative writing thing in which you set a goal and the plot develops as the writers do it together.
For setting, you have several possibilities. Several of us are at work designing settings; you can do this with a thread that describes the setting, e.g. my Annada or Black Hound's Therin. Annada is my world, but you have my permission to use it if you wish. Another option is to use an established fantasy world, such as J.R.R. Tolkien's world (which is called Arda), the setting of Age of Wonders, or a popular D&D world (many of the people around here like Toril, which is the Forgotten Realms world, although I presonally prefer Arda). You can also make it up as you go along (difficult, and best done for creative writing), or you can even choose a more-or-less fantastical version of the real world.You also have to decide how structured you want to make your game. D&D is complicated enough that it's cumbersome in a forum environment, but many of the current games use it. Black Hound is working on a simplified system for Therin. You can also go completely without structure. The players that you will manage to draw will depend upon the nature of your game and the system you want to use. ChowGuy, for instance, has played only in free-form non-structured games, whereas Accusync and Trogg prefer structure. I will likely join anything if I think the plot and setting look cool enough. I am driven by plot and setting, however, whereas other forummers such as DemosCell prefer action.
GMing is very difficult: you have to tell a story, and you never know what your players will do to mess it up (they will always do something - even without intending to). Such is the nature of players. I doubt very much that purchased adventures will be any better in this regard - most purchased adventures appeal to a specific type of gamer and run a specific type of game, and not all PCs are traditional adventurers. There are several good tactics for getting an adventure going:1. Post an initial goal. All of the PCs in the game are intended to be people who are intent upon that goal already. This is how the Giant Trilogy works, for instance, and to an extent how the Jade Warrior game works also. You may also want to create a "GM PC" for the party, but remember that your GM PC shouldn't be much better than any of the rest of the players (in fact, it's usually better if your GM PC is a little weaker than some of the PCs). Your GM PC can get into trouble, or be removed, or even turn into a villain, depending on how the PCs work.
2. Put the PCs into a situation they have to work together to get out of. The PCs need not be adventurers; the adventure comes to them. Black Hound is very good at this; some of his threads would be useful to read up on.
3. A combination of (1) and (2), create a strong NPC who leads the PCs into a situation that they then have to solve themselves, because the NPC himself is incapable of it. At first, the PCs will be spectators, but they become the heroes as the story unfolds and the hero turns out to be either a schnook, or even a villain!