I think the microlight variant of a Sandbox game is the most explicit about it:
In my particular game, I’ve started with a hex map from the campaign setting, and I’m basically using the info for the various hexes as starting points. I plan to put a cool little adventure in every hex.
As for players, I gave my players an initial mission: Drive away the humans from the forest. And I told them that the campaign will end somewhere between level nine and twelve. Other than that, I’m going to leave it to them. If they don’t want to drive away the humans, if they want to ally themselves with the humans, if they want to take over the forest, or travel and see the world, I want to take it, twist it, and roll with it.
I’d suggest that it helps to give your character a goal that he’s actively working towards. Not just “When I get powerful and rich enough to retire, I’ll build a stronghold for my deity” but “I’m going to start scouting out a suitable place for the stronghold right now, make alliances with the locals, recruit people to my cause, amass wealth, get whatever dispensations I need from my church. As I get money I’ll start by building a road-side chapel, then I’ll add a round tower nearby to serve as home base and to protect the surrounding area from goblins” etc etc. Then, as you go on adventures and level-up (if it’s that kind of game) you can keep returning to advance your plans.
That’s much better than “I just want to hang out with some other adventurers and kick some ass” or “I want to bring balance to the force.” If one of the players has a strong in-game goal, it will automatically start dominating the campaign. That can be good or bad, depending on your players. I like it.