Terraria does not have an end. It's a sandbox. Feel free to do whatever you want! You are using a Muramasa, but it's not the strongest weapon, it's actually one of four items needed to craft the strongest one! (Night's Edge)
Go build something great! There are many forums where you can find people building really amazing things in Terraria, like castles, big forts, houses, etc.
Pixel art! Yes, Terraria is just block, blocks and blocks. Various colours, textures - this can serve as a great set of "painting" tools. And what's the canvas? The world!
PvP. Like it was mentioned in other answers, you can fight other players.
Download custom maps - there are tons of custom maps already, with maze games, adventures, role plays.. Just pick one.
Last but not least - wait for the 1.1 update! It's gonna be huge ;)
The release of 1.1 is planned for the first of December, and there are going to be really interesting things!
According to the official Terraria wiki, you should avoid getting too close to the dungeon from underground, if you haven't defeated Skeletron yet.
Deep caves and Chasms near the Dungeon should be avoided until Skeletron is defeated, as having a significant portion of the Dungeon on-screen below zero depth is considered being inside it, and Guardians can therefore still spawn.
This means that you do not need to actually be inside the dungeon for the Dungeon Guardian to spawn. The reason for this, is because the Dungeon is not a closed space; in my world for instance, the dungeon was generated with a patch of dirt separating two patches of wall, so I could've entered the dungeon without actually digging through its wall.
Best Answer
A Nazar prevents a debuff called Cursed, which you get when specific enemies hit you.
The Cursed debuff prevents you from using your inventory (weapons, potions, anything), so it's highly annoying and, if combined with bad timing, occasionally lethal. It doesn't last that long but that's still many seconds where you are effectively a sitting duck, or if you're smart, a moving target. Luckily it's only applied by a few different creatures (Cursed Skull in the dungeon is one), and most of them have a minor chance to drop that Nazar.