Simple people like simple classifications. Thus they will explain to you how EVE Online is a sandbox game, meaning non-linear, open world, unlimited freedom to find your own adventure. As opposed to World of Warcraft, which is labeled a themepark game, only one linear path to the top, with the game taking you by the hand and leading you from ride to ride. So everything is nicely classified, put into a drawer, and we can stop thinking. Can we? The reality, like always, is a lot more complex than this simple black and white classification into sandbox and themepark suggests.
The trouble starts if you want to sort more than two games into those drawers, lets say in addition to EVE and WoW we also want Final Fantasy XIII and Second Life. Now instead of drawers we have an axis that goes from extreme linearity to extreme freedom, with FFXI and SL occupying spots near the extremes, while WoW and EVE are suddenly finding themselves much closer together in the middle.
Yes, World of Warcraft is more linear and offers less freedom than EVE Online. But I recently reported how I made over 1,000 gold with a ultra low-level character in World of Warcraft by fishing in Northrend, which certainly was a "sandbox episode" of playing WoW. And if you find yourself in the rookie or help channel of EVE Online and ask "Hi, I'm new and a bit lost, what should I do?" you will generally get the answer "run missions", which isn't all that different from the "do quests" answer you'd get for the same question in World of Warcraft. Funnily enough it is those simple people with their simple classifications which on the one hand will violently defend the superiority of the freedom of EVE Online, while on the other hand being totally unable to find that freedom in World of Warcraft. It exists, you just need to ignore those "go this way for fastest leveling" neon signs the game offers as help.
And those "this way" signs are there for good reasons, which is why even EVE Online added them. You don't want new players to be lost right from the start and get the same impression of EVE Online which Ixobelle linked in a previous EVE comment. When I first played EVE back in 2003, there were no helpful career missions explaining you the basics of the various EVE career paths. Now, 7 years later, EVE's famous learning curve is a bit less vertical, and the game makes a greater effort to take the new player by the hand and guide him towards the content. Which is exactly what the principle of a themepark game is.
Ultimately this is a problem of willpower and imagination. There are players in EVE which get hooked on the mission systems and who are running missions all day long, basically playing EVE like a themepark game. The freedom to do whatever you want is a scary thing, because it requires you to decide what you want, and take the risks involved with that decision. Following the neon signs that point you towards a reasonably safe way of linear progression is the more comfortable option. And that is okay. Doing whatever you want *includes* following the beaten path. It is better for EVE Online to offer that possibility to take the guided tour. It is up to the players to decide whether they want to stay on or stray from the path. Whatever the game is.