I'm having a fun time exploring.
Exploring gets you:
More gear
Materials and coins to upgrade gear
Items to upgrade your health and stamina
You might even come across random boss fights
So in my opinion, it's rewarding to do so.
I'm not too familiar with BOTW but there are shrines you would find through the map, yes? I would say this game has the equivalent called Vaults. Puzzle based dungeons that can get you gear or cosmetic items, and there are quite a few of them, ranging in difficulty.
One "negative" I would say is the fact you don't level up in the traditional sense. No XP being earned, but that's a personal issue for me and not something that makes the game any less fun. You get stronger by upgrading gear and if you wanna upgrade EVERY piece of gear, it's going to be a grind. The number of materials you need increases each level. Maybe you earn more materials in that last difficulty you unlock when you beat the game. Who knows.
Stamina is very important. That's why I would advise on exploring the land for the items that help increase it. You'll be able to climb higher, swim farther and fly longer. You pick up mushrooms that, when holding Right on the d-pad, refills your Stamina. So if you're climbing, for example, you can keep refilling and climb at the same time. Don't worry, these mushrooms are scattered everywhere so you'll have plenty on hand.