|Where they are now, more or less.|
Least rewarding in the traditional schemes of things because killing and stealing has nasty consequences and feels wrong most of the time.
Most bewildering especially when the party, like my own Band of Iron, is in between adventures ... and trying to buy stuff and work out contacts ... and living in the world I created, where there are visible signposts to the next adventure, but there is more than one signpost and they're merely visible or sometimes actually tucked away rather than neon-lit and blinking.
For any such players in a big and sprawling campaign, and especially my own, think about using "city time" in the following way:
1. Write down a list of "locks" - mysteries that remain mysterious, opportunities you don't quite know how to crack, things you would like to see happen.
2. Write down a list of "keys" - things that remain to be investigated, potential clues or leads, all the other social and magical ways you have of getting information.
3. When next you meet, prioritize the "keys" that seem to correspond to the most appealing "locks" but investigate as much as you have time for.
Or just ignore this advice and spend time wandering around in this wonderful huge city. Despite all your expenses, you've still got a chance to carouse, a chariot race to see ... Rule Number One is fun!