The transition from battlefield adventures to dungeon adventures essentially created RPGs as we known them—the transition from dungeon adventure to wilderness or town adventures introduced the whole idea of “plot” (in the sense of something pre-outlined rather than emergent) to RPGs. – Some More Nice Things About Dungeons by Zak S.
As a kid, I always felt weird when letting my players roam around in the wilderness. I keenly felt the need to lead them by their noses to the adventures I had prepared. Playing the Paizo Adventure Paths in recent years has shown me a solution: big bad is going to happen unless you go right here, right now. I sometimes dislike this sense of urgency because players will usually solve the urgent problems before thinking about their retirement, their castle to build, their temple to found, the guild to run. In a way, it has stifled player plot initiative. Players make no plans if big bad is going to happen real soon.
I did not want to run that kind of game in my Alder King campaign. Instead, I followed this small number of rules for my sandbox wilderness:
That still leaves a lot of points raised by Zak unanswered (limited-resource scenario, problem solving, information turning to tactical advantages), but it’s a start.
Update: see also A Method For Making A D&D Sandbox