A few friends of mine run a server of their own, where they built a huge wall around an area filled with torches in order to have as little monsters as possible spawn in there at night.
One of them, in secrecy, built a huge <a href=http://i248.photobucket.com/albums/gg199/SpitFireMarkA1/Minecraft%20Goodies/2011-03-02_000024.png?t=1301048675> pyramid (81x81x40 blocks), complete with a maze, a monster room, and a mine-filled bridge underneath. He had it rigged so that when a few people run through it to 'claim the treasure' they'd step on mines and fall into the monster pit and die gruesomely.
He started in late January, spent around 4 hours a day on it for about four weeks, and moved over 6000 blocks of sand, as a few reference points.
I, myself, for no other reason than doing it alone, began the construction of my own cathedral, and picked through at least 3 diamond shovels simply flattening the area I was to use (81x51x64, this is at sealevel) which took 1 and a half day to do. then planning a bit using the pixelgrid in photoshop where to put my foundations; So far, only the <a href=http://i248.photobucket.com/albums/gg199/SpitFireMarkA1/Minecraft%20Goodies/2011-03-09_014746.png?t=1301049027> towers are really completed.
So yeah, there's no set goal, there's no 'victory'. You give yourself a goal and try to pull it off, simple.
Simplicity rules, but that doesn't mean you can't pull off grander things as well.