Some of it depends on what system you're playing. I always recommend reading more games, because even if you don't adopt their rules wholesale there's often ideas you can steal.

CofD had this idea of "aspirations". Players are asked to write down one long term thing they want to see happen to their character as a player. That's not necessarily what the character wants. The players should also have one or two short term aspirations. Since these are for the player and not the character, they might be something like "Get in a car chase" or "Take a hit that would fell a normal human" This gives the GM a little guidance on what the players want, and if they're like "i dunno" that's a prompt to talk about why they're here.

More general advice: Engage with the game and its premises. If you're playing a game about superheroes that go out and fight street level crime, don't make a character that spends all their time making a mundane brass band. If you're playing a scrappy militia defending an outpost from a zombie threat, don't play a guy whose current obsession is writing poetry. Engage with the premise. "Wacky" stuff gets old fast. Playing safe to the tune of "Oh that sounds dangerous I'm just going to stay in the fort" makes for boring gameplay.

I ran a game that ended unhappily because of this. I wanted it to be "explore the cursed island full of monsters and traps", and one of the players just wanted to open a restaurant. No. Bad. Engage with the game as pitched. If you want to play something else, talk about it instead of rowing against the current constantly.

Engage with NPCs. I have a lot of players that just don't ask NPCs anything. That doesn't mean the NPCs are going to drop everything to help you, but if the GM is doing a decent job they have their own motivations and desires. They should be more than Final Fantasy NPCs that have a few fixed lines and a quest reward that pops out.