I've always wanted to run a sandbox game. Initially, the reason I didn't take that tack with my current AD&D group is a bit complicated. At first, I lacked a concise set of rules for adventuring in the wilderness. The 2nd Edition Dungeon Master Guide is of absolutely no help in that regard; where the original DMG has diagrams and page after page of random encounter tables, the second iteration of that book basically says "Do it yourself - good luck!"
To a certain extent, this problem has been fixed. I've printed out the two pages from the Cook/Marsh Expert Rulebook that deal with this (the instructions, directional diagram, and encounter tables all fit on both sides of a single sheet of paper!) and I can easily have it in front of me while gaming. The other issue is more complicated: my players aren't familiar with sandboxes.
I admit that part of this second reason is my fault; one of my players (and, by the summer, two of them) was part of my original group that started with the Pathfinder Beginner Box. I was younger then, and made liberal use of subtle railroading and fudged die rolls in the belief that it improved the game. And each time we add an additional player or two to the current group, I try to start off with a simple dungeon-crawling adventure, to allow the new player(s) to get a feel for how everyone plays; many of these crawls are drawn from my use of the random dungeon stocking described in the Moldvay Basic Rulebook. This wouldn't be a big issue, except that there seems to be a new player - or three - every other session.
More than that, though, the majority of my players have (like myself) been raised on video games. A cornerstone of our gaming experiences are the RPGs made by Bethesda - not only Oblivion and Skyrim, but also the post-Infinity Engine Fallout installments. These not only have fetch quests, but actual compass markers directing players to the next objective... even within a few feet. The games literally lead you around by the nose, and the built-in fast-traveling means that exploration is reduced to an optional element by the later stages of the story.
Were we a little bit older, we might have cut our teeth on Morrowind, which barely even had an organized quest log; one of the things I quickly grew to love about the third installment of the Elder Scrolls series is the freedom to do stuff however one sees fit. Morrowind has a much greater degree of freedom than any other Elder Scrolls or Fallout game since. Want to kill the leader of the Fighters Guild? If you're tough enough, do it. Want to break into Vivec's chamber (lock level: 100)? If you've got the skills and the tools, try it. Want to hop around the island like Ang Lee's totally comic-accurate Hulk, or teleport out of a tough fight? If you have enough money, Magicka, and Mysticism skill, you can make it happen. I personally experienced more inadvertent sequence breaks in Morrowind than I did in Metroid: Zero Mission.
And I loved every second of it. The game wasn't holding my hand or keeping me on a leash. It wasn't so much a story as it was a world. True, this world was full of behavior that could be easily exploited (Ghorak Manor comes to mind), but then so is the real world (I like to think of retail returns as my own little form of "save scumming", to borrow a term from roguelikes).
I have the resources now to run a serviceable hex-crawl in my AD&D campaign. Hopefully I can convince my group to interact with the world in a more granular way.