KlinH4xx0r: Should I keep soldiering on through? Is it worth it?
Personally I really enjoyed MM1. There's very little guidance, as you say, so you simply need to keep exploring and mapping things out. Eventually you'll stumble upon some things you should do. It's an interesting game in that you have to explore to even find out what the main storyline is. If you decide to keep going, some important things that players don't always realize:
1) If you create your own characters (which you should!) they won't start with any useful equipment. But the pre-made characters have better stuff. Take it from them! Just leave the inn with half of your characters and half pre-made characters, transfer their items over to your characters, then sign back in, switch out people again and repeat. Makes the early game easier.
2) Always remember to (S)earch after combats! You can rest first to heal up, but if you leave the square you're in before searching, you'll forfeit the treasure. This is the primary way to find better gear in the game. Robbers are awesome to have for opening treasure without setting off traps, so it's worth having one in your party even though they're rather terrible in fights.
Having said all that, others in this thread are correct when they say the games are largely independent form each other, so you can skip ahead if you're not having fun. The next one to try is MM3 (MM2 is like more MM1). If you like that, keep going through 4 and 5. If you don't, skip ahead again to MM6, where the style changes again.