A sandbox campaign is one where the whole world is realized, and the players can go anywhere and follow whatever paths or play style motivates them. In a sandbox campaign, the world is (or isn't) a scary place, and challenges exist independent of PC level - if the map reads "here be dragons" you'd best not go there if you aren't prepared to deal with dragons (or just aren't high enough level).
The opposite would be a structured narrative campaign, where a particular plotline is presented to the players, and they are encouraged to address / pursue it. In the narrative campaign, the universe scales up with character growth. There's probably a Big Bad, or other real dillemma the campaign revolves around. Said Big Bad probably sends minions after the PCs in the early stages, and the PCs don't get to face him until they've leveled up or accumulated the mystical MacGuffins needed to defeat him. If the players try to jump the gun, or meander far afield, the GM discourages this behavior with methods subtle or overt.
I've done both, and tend to shift between the two modes depending on what kind of game I'm running at the moment. More often, I do the Sandbox treatment for campaigns, and scripted narratives for one-shots and short-shots, but that's not how I run things 100% of the time.
I've run several Amber campaigns over the years. Sometimes, I put a major plot on the grill (the imminent destruction of the universe is the classic Amber trope) and put the players on a clock. Other times, I've just created a backdrop, and left the players to their own schemes and motivations set against that backdrop. Both tactics have resulted in really good campaigns, as well as less memorable ones. One of the neat truths about Amber is that if the players want to make it a sandbox, they can do so. They have the power to travel to any world they can imagine, so the GM has to really understand his setting and be prepared to improvise.
Continuum was another game where the Sandbox status was pretty much in the players hands. I definitely presented them with a plot, especially in the more structured second half of the campaign, but the ability to teleport and time travel at will meant I had to be prepared for massive deviations from my plans. On top of the usual sandbox requirement of knowing where my NPCs were at all times, I also had to know when my NPCs were at all places. That was a fun challenge.
That middle ground is also occurring in my current Trail of Cthulhu game. There's a definite mystery plot afoot, but the PC has uncovered other things not related to the prime mystery. The PC in this game lacks the ability to travel parallel worlds or span the ages, but I've given her a map of Arkham, and her choice to suddenly drop in unannounced at various locations has definitely thickened the plot and stirred the setting. My wife (the player in the campaign) has been told out-of-character that this is Arkham, and at any given time many schemes are in motion. Big threats, of the "Cthulhu awakes and devours the eastern seaboard" variety, will be foreshadowed and made a part of the prime narrative. Lesser threats, but ones still capable of driving the individual PC mad or killing her, may be scattered through-out the setting. If she goes around kicking in random doorways, she'll complicate things, but it may also be fun. Behind that door might be a potential allie you can rescue, or maybe the barely-contained elder horror that will just rip you apart. For a game base in Lovecrafts cold / uncaring / non-humano-centric / atheistic / alien universe, this sandbox of danger approach seems particularly fitting.
My current Deadlands game, however, is shaping up the opposite way. Mainly, this is because of a player in the campaign being allergic to cats. We like this guy a lot, and we wouldn't dream of excluding him. I have two cats, so if we want him in the game (and we do) the game must be hosted elsewhere than my home. That means I have to keep things simple. I don't want to have to haul a huge assortment of minis, sourcebooks, campaign notes, and NPC sheets around. My first session I had to drag twice as much stuff as was really feasible for the long run. I've been trimming and reorganizing since then. The best solution is to keep everything simple, and have the PCs on a single coherent path. Then I only have to know about the next town on the trail, not have memorized every nook and bad guy of the entire Dakota Territory.
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