Goals of Second Life

There are a wide range of different things to do in Second Life. There are no "level" restrictions, or anything similar, as there are in other online games. However, as there are no NPCs in Second Life, so if you want to involve other people in what you are doing, you must remember they are other real people with desires just like you, and give them a real reason to be involved and interested. Things you can do on Second Life generally fall into these categories:
* Chat. Meet up with people, dance, talk, and make friends. This can also include learning from those people; there are classes in SL on both SL topics and real-world topics, and it's a great place to meet people in different fields of work or countries. This can also include social role-playing, where you play the part of a character in social meetings with others. Make progress by making lots of friends, bringing people together, entertaining people; you could eventually be organizing whole parties or looking after an entire themed role-play island.
* Change clothes/avatar. You can be anything you want in second life. Change your appearance to anything you like at any time.
* Play Games. There are a wide variety of different games to play in Second Life; fighting games, puzzle games, board games, some drawn from the real world and some designed especially for SL. Make progress by gaining skill at these games, winning tournaments or leagues; and at least some of these games do include "levelling up" systems that are specific to the games.
* Explore. Second Life is a huge world built by thousands of different people. Fly around using your avatar directly, or in a car, boat, or plane, and see what you can find. This can also include shopping for the most interesting new or fashionable items for your avatar or your house. Make progress by finding new and interesting things, and telling others about them. Eventually, you could have hundreds of people seeking your advice or viewing your blog to find out about new places to go and things to buy.
* Create. The creation tools of Second Life are completely open for everyone to use. You can create places, objects, clothes, new avatars, weapons, gadgets, and anything else that you can imagine (and have the talent and skill necessary to create). You can then give them to other people or sell them (see below). Even if you don't want to use the creation tools, you can still create using items purchased from the world. Buy and arrange furniture in your house, or shop and mix and match to create your perfect avatar. Make progress by improving your creation skills and experience, learning entirely new skills to create with in SL, and adding content to the world. Eventually, you could run an entire fashion show filled with your own designs, or stand and gaze to the far horizon across the world you made.
* Do Business. You can buy and sell goods in Second Life using L$, and cash them out for real money. You can sell things you've created (see above), or sell your services or help with other things. Make progress by expanding your business and earning money. Maybe you will be able to buy an island for yourself that's paid for using your sales, or even take your real world salary from Second Life! 
(Note: Business in Second Life is real business, and is not "easy money". To take a real world salary from Second Life you have to work at least as hard at it as you would at a real world job, probably harder. Also, money going out must equal money coming in, and there is only a finite amount of money coming in, and thus only a finite number of people can ever cash out. This is not to put you off doing business in Second Life, but do understand that exactly the same restrictions apply as for business in real life.)
Anything else that you want to do will generally have to be fitted into the above categories in order for it to be possible in Second Life. Here are a few examples as to how you might do this:
* If you want to play a role that wins conflicts with others, such as a ninja, then you will be best advised to do this by playing games. There are games specifically designed for combat so that you can play out thing like this. In Second Life, you cannot be a ninja who wins every time and kills anyone he/she likes, because your targets are other real people and they probably would not enjoy that. Alternatively, you could simply ignore or "backstage" this aspect of the role. For example, you could join or create a ninja training school where you and other ninja players share stories of your successful missions (which were not actually played out in SL).
* If you want to play a role that has authority over others, such as a King or Queen, then you will need to give others a good reason to follow your authority. This is often gotten by Creating or Doing Business. For example, if you build an attractive medieval landscape in which others can come and live, they will trust in your authority to resolve disputes between them and to manage the area. Alternatively, if you just want to be a King so that you can have a big castle and fine living (and not actually do the kind of work that a king would do), then you don't need authority to have that in Second Life; you can simply obtain some land and buy a castle to build on it, then invite other kings and queens and princesses over to chat! However, for the same reason as the ninja example above, you can't be a King who just walks through the courtyard kicking dirt on the peasants.
* If you want to show off (by performing, or modelling, or similar) then you need to give others a good reason to want to watch. This is usually through Creation (they are watching you because you've created something good) or Chat (they're coming to see you because you have such a great personality). You don't have to create from scratch in order to show off; many models use avatars designed from a combination of purchased parts, and entire theater shows have been made using only purchased items. However, in both cases the real person also added their own creativity to the mix (by picking the combination of parts, or writing the script for the show). You generally cannot perform on SL simply by buying an avatar and basic animations and nothing else; so if you buy (for example) a ballerina avatar and animations, you can use them in chat, but simply standing on a stage and running the animations would not be a show that many Residents would be interested in watching (although you may be able to make it into one by adding your own touch) 
If you're not sure what to do first, I recommend going out to explore the world and attend some events and basic classes in the first week they are here. Click the Search button at the bottom of your screen, then the Events tab to see what events are going on today. All event times are listed as Pacific time, which is shown at the top right corner of your screen.
You can teleport to any location by clicking the Teleport button near the event or location shown. After teleporting, you will arrive near the location, but then may need to walk or fly toward the red arrow/beacon to get to it.