Brad over at Skull Crushing for Great Justice has summed up my "limited sandbox" game nicely.
Essentially, my ideal environment is nothing more than a dungeon and a town; everything else is irrelevant. To me, at least, this seems to be the essence of Old School rpgs. A massive board without fixed squares, but still confined to a specific space the pieces cannot leave. Is there any real need for a whole world in which to put this board? What justification is necessary beyond "the place exists to facilitate adventuring"? Sandbox gaming now assumes the PCs can go wherever they want, the DM responsible for a world for them to explore at their whim. Sandbox gaming when I was younger was just what I described: you have this dungeon and that's it. Clean it out and go to town to sell your crap.
That's my game. There isn't any need for my PCs to go anywhere else, because all you'd be doing is changing the window dressing on the dungeon. The adventure is right here in this little play area. A keep on the borderlands (THE keep, in fact), a big damn dungeon with some surrounding smaller dungeons, and a city close enough for shopping trips but too far for convenience. Within those limits, go for it. As Brad said, “Clean it out and go to town to sell your crap.” That’s what I do once or twice a month with my buddies these days. I've done a bigger sandbox, but I just don't need that right now.