The roles the players assume should be those of larger-than-life figures. Though they are not mythically powerful at the start of their careers, they have the potential to become the stuff of legends. Player characters should certainly have flaws, but they have in them a spark of greatness the average inhabitant of the world can only dream of grasping.
Fantasy role playing should be an escape from the humdrum everyday and having larger-than-life heroes (and villains) is key to that. Heroes are asked to accomplish feats that normal people cannot. Their actions have consequences that shape the world in which they live far more that the efforst of the vast majority of the world's inhabitants.
The inhabitants of a fantasy campaign are largely closed-minded, superstitious people who distrust strangers and changes to the status quo. The vast majority of the population are born, live their entire lives, and die all within a distance that can be walked in a single day. They believe that their ancestors of the distant past were wiser and more moral people and that today's civilization exists in a state fallen from the glory of long ago. Even the tiny minority of educated and well-traveled individuals who make up the upper class will probably look with mistrust and maybe even hatred upon anyone of a different race, culture, or soical background. There are exceptions, and the player characters are of course free to decide it they subscribe to this standard world view or not.
While everyone in a fantasy campaign setting might know magic is realy, few have ever met an actual (arcane) spellcaster--at least not one who showed his or her arcane power. Sure, the local village might have a low-level priest capable of casting the simplest of divine spells, but most people view magic--especially arcane magic-- with trepidation. This can be a double-edged sword: whilst villagers might regard the party's sorcerer as a dangerous person and be wary of offering her a place to stay, they might also be afraid of offending her and even offer goods and services at a slight discount (in order to hurry the party on its way).
Just as the player characters are larger-than-life figures in the world, so are many of their adversaries. Heroes who rush in foolishly (especially near the start of their careers) often perish--or at least suffer greatly.
The world you and your friends play in is yours; you decide what its rules are. If your role-playing philosophy is different than ours, our products will still work for you (maybe with a little tweaking). We don't think you should have to play our style of game, we just want you to understand where we're coming from.