I remember going to The Arreat Summit (
http://classic.battle.net/diablo2exp/) very very frequently and drooling over the items I wanted (Uniques/Sets). I knew exactly what I wanted, and there was no AH, and I rarely participated in random player-to-player trades.
I did find stuff like Frostburn Gauntlets (very useful with the +40% mana), Nagelrings, Tal Rasha's set stuff, Immortal King set stuff, etc., that was all immediately useful/desirable for my character, and all I had to do to acquire it was play the game. I didn't have to engage in some ebay-esque side game, or even trade at all if I didn't want to, and I'd still find, albeit rarely (and that's what made it fun/exciting!), some really rare/nice pieces of gear.
Things weren't so micro-incremental too. You'd get really huge upgrades in some of your slots, and these upgrades were pieces that were immediately useful, and that you could keep and be satisfied with for a LONG time. Nobody gets excited about going from a +150 str item to a +175 str item. Sure, your power has taken a very minor increase, but when there is no discernible difference in your power when you're actually fighting stuff, how is that worth getting excited over?
Also, the low-level stuff! There were GREAT low-level sets, whether you had just a couple specific pieces to get a nice partial bonus, or the whole set for an even better bonus. There were great low level Uniques as well (various boots, Tarnhelm, etc.).