DnD can be great fun, or it can suck horribly. The key is to have a DM who realizes that while he should make it somewhat challenging for you, because that can be great fun, his goal is not to kill you. His job is to make sure you have a good time. It's not a game of DM vs the players. Considering how much work it takes to
be a good DM, it's a rather thankless job, which is one of the reasons I hate doing it. But hopefully you have other players who are also comfortable with DMing and are good at it becasue then they can return the favor.
The way we usually play is everyone in our campaign DMs and has a character. We all know the overall goal for the campaign and thus we are all able to work towards that with the various things we come up with for us to do. Whle DMing your characters is in basically NPC fight mode. You don't get to solve the puzzles, or do a whole lot of character development, but at least you can still contribute and help out if a fight comes up. Then next time another person DMs and you get to play your character to it's fullest while they go into NPC fight mode. I've heard people bitch about how bad of an idea that is but really it's worked out just fine with numerous campaigns at least three of which are now semi retired with chracters in their 30s.
I can't really tell you how to be a good DM for your players though, because it's going to depend entirely upon what your players like. Don't let them get out of control, but at the same time let them do what they want as much as possible. Also, don't be afraid of letting them play evil characters. Two of our highest campaigns are based around evil characters. Oddly enough while we've done some pretty evil crap, we've actually ended up doing a lot of good as well. Keep in mind evil can do good deeds, there just needs to be something in it for them personally most of the time.
For instance in one of our evil campaigns, using a couple of dragon hoards we had "confiscated", we bought every slave we could get our hands on, had them build us a city (and most importantly treated them relatively well while they did so) then said "Congradulations, you just built your new home. Communication and transportation can be provided for any family you'd like to contact or move to here with you." We lost about 15% of them to people decideing they didn't want to live there and whatnot but most of them decided to stay and the population flourished with all the families that came in in the following months. There are bonuses to living in a city where there are no taxes (hunting dragons pays a lot more in the long run, although it is a tad more dangerous...). Not only did we get a relatively pimped out city out of the deal but we got a very loyal group of citizes from which to recruit for armies as well.
In other words let your players do big things, but make the justify it and reason it out. Letting them actually change the world they play in is oftentimes as much if not more fun than just running around killing orcs and kobolds