A group of young adults leaving the safety and comforts of civilization to try and start a new life in a vast, unforgiving wilderness full of dangerous beasts and undiscovered wonders. That's this campaign setting in a nutshell. It should come as no surprise, then, that I'm striving to give the players a fair amount of autonomy, rather than railroading them into some Plot of Epicness.
This not only fits my preference for the picaresque in serial literature but also, in theory, makes it easier to create adventures that players can drop-in, drop-out of. (I say in theory because more often than not, I have to find some sort of excuse for so-and-so to suddenly disappear anyway.)
Of course, even a sandbox has to have some structure-- I can't just have every single possible dungeon and NPC for half of a continent within arm's reach-- so, at the end of every adventure since the fourth (I needed to give the players a chance to "settle in", since for many of them it was their first real experience with the game), I've pulled out the slowly-growing campaign map and ask them, "So, what do you want to do next?" At which point they offer, discuss, and come to some agreement on a place they want to visit (Bloodpurse Isle, which led to the discovery of Jarmangle's Secret), a quest they want to complete (free or kill the young dragon, in the Dungeon Crawl adventure), or even a general direction (as when The Bard Said South).