Our group has an open sand box campaign going on for more than 2 or 3 years now, using MERP/Rolemaster. It's something we all love, have grown quite fond of and we all got attached to our characters.
The setting is set in the Third Age of Middle Earth (1600ish): a group of mages of Numenorean decent survived the downfall (or rather war against) their guild, fled to exile in the north west towards Arthedain, and tried to find a new home and build up some influence.
Many sessions later the mages installed themselves in a shire who's (rather machiavellistic) sovereign was chased off in a rebellion which succeeded last but not least because of the rebels new found magical friends. After this the whole game took a turn towards economics and strategy: for a good while we enjoyed diddling with the economy of a rural medieval shire, solving local problems, establishing a new and and commonly accepted rule, and -- for all intents and purposes -- became the new governors.
Lately we have talked about somehow breaking out of this pattern, and getting back on the road: I think we all would like to return to actually playing a character and directly facing problems, instead of dealing with taxes, politics, wool trading returns, sending out troops against bandits, or when to hire people to help with the next harvest.
What is a graceful and satisfactory way out and for our characters to get back on the road:
without destroying all that we built (so no invading Orc army destroys everything, goodbye and thanks for all the fish),
that lets us continue playing our characters, instead of just retiring them and rolling up new ones,
that still gives this large chapter of this campaign some significance in future endeavors (quite a lot of effort was invested in fleshing our this shires geography, population, economy and natural resources, political significance, etc.)
It's worth noting that we employ a rotating GM scheme: all of us have characters, and everyone is GM now and then for one to several sessions. During the GM part of someone, their character essentially becomes an NPC until it is time to take over as a player again. We often discuss the broad topics and themes beforehand: so if someone has a good idea/plan for a new direction it is generally easy to get everyone on board. This is also the case concerning this topic -- we already agree that we want out, but are struggling a bit with the how...