Up to now, we've mostly talked about roleplaying as a way that you and your friends can get together and enjoy developing your characters' relationships with one another. You don't normally tell stories about epic struggle against evil incarnate as a roleplayer in WoW, mostly because you have very limited control over the enemies you can struggle against in the game -- they tend to respawn every few minutes. It's hard to say, "We have just defeated Arthas and rid the world of the threat of the Scourge!" when your guild is scheduled to do the same thing again next week. There are ways around the continuity problem when you're raiding, but generally the best roleplayers tend to stay away from big lore characters and earth-shattering consequences, to focus on the more personal, down to earth things our heroes experience as they go through their daily lives.
It's kind of like if you had a TV series about all the things that happened in the general background of Lord of the Rings that didn't make it into the movies or novels – Frodo, Aragorn and Legolas would not be in it, but there would be other characters who could interact in the same world, and flesh out many of the details that wouldn't fit in the epic trilogy. (Incidentally, I have not had a chance to play Lord of the Rings Online, but I would hope that one of the goals of that game would be to do just this for the world of Middle Earth, the same way WoW roleplayers can sort of do for Azeroth.)
Now, even though you typically don't roleplay yourself beating up the biggest bad guys in the game, that doesn't mean you can't have any antagonists in your RP stories -- just that your own personal villains have to be somewhat low-key, and that you and your friends have to play them yourselves. There are a lot of limitations and pitfalls with that sort of endeavor, of course, but with a bit of subtlety and imagination, it can most certainly be done.