Just some off the top of my head.
On the PC....
The Sims (1,2 and 3)
X3
Freelancer (and Elite if you really want to go old school)
Far Cry 2
Most RPGs released in the last 5 years (since Oblivion hit it big it's almost a requirement now that an RPG be open ended)
Space Rangers 2 (an overlooked gem from a few years ago.)
On the Xbox 360...
Fable II (a bit of a mixed bag in the 'Sandbox' dept. Though you can play any way you like good or evil the actual world is very linear with not much exploration to be had)
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