I like sandboxy style gaming as well, but it does depend on your players. That aside...
I prefer lower-fantasy worlds; E6/E8, with perhaps a few (and a very few) stronger individuals. Fantasy games get ridiculous when every little hamlet has a druid that can call lightning, a wizard that can throw fireballs, and a fighter that can take the contents of hell all on his own. Most people really are just people, trying to scratch together enough food for the winter. A tiny smidgen are more than that.
Also, magical items that are more than just "Sword +1". Having a story attached can not only make "Sword +1" special, but it also builds your world out a bit as well.
I'm working on a world of my own at the moment in bits and pieces, and here's a few things that I intend to include:
Some non-standard races available to the PCs, with power in the world. Yeah, dwarves, elves, they're around (or maybe not), but when was the last time you had a politically powerful kobold tribe, a crumbling empire of sea-faring minotaurs, or a theocratic society of griffins?
A variety of flora. Flowers that are lighter than air; vines that emit flammable resin; venus fly-trap like things that have an amount of mobility; addictive mushroom spores; plants that change color based on the temperature. Now we have cool plants - how do people make use of them?
Who said the dwarves and elves had to be at odds anyway? Right now, I'm trying to question some of the standard tropes. It's harder than it sounds, actually... Not questioning the tropes, but realizing all the parts of fantasy we take for granted so that they CAN be questioned. I know that elves are supposed to be these tall, thing, beautiful people that live in the woods and are good with bows and never really age and blah, but at this point in my life... I can't take it anymore.
I love what 2nd Ed. Dark Sun did with a lot of the races. Just reading those books long ago felt... wonderful. Cannibal halflings...
A world that is generally unexplored. Perhaps it is new or, in my case, the landscape was drastically changed a hundred years or so ago. You have these maps, see, but they're not necessarily accurate anymore. Also, it's not nearly as fun when someone says, "Oh, yeah, that forest, been there a million times, here's a map, look out for the owlbears." That doesn't feel like exploration and adventure - you're treading worn ground.
I'm ditching alignment completely (for several reasons), and running things in shades of gray (but not 50 of them, har har). Not many people are actually evil anyway - a war band may raid a town and take the food stores, but if the choice is that or starving... There's long threads on the subject, won't repeat here, but alignment isn't popular with my group.
Part balance, part flavor, and part wanting to get people out of the rut of picking the same spells over and over, many commonly used spells will have been lost, or are going to cost a lot of coin to access.
The idea of having something happening while the characters are going on about their business is important to me as well. When there's rumors of war, or a new king is crowned, there's trade negotiations, that kind of stuff going on regularly, it should help the world feel more alive in general. It may be helpful, if you do end up with a print product, to have some pages dedicated to "big things" and how they might affect the world.
When it comes to maps, I like to jot down the major land features and the big cities, but leave the rest empty. This allows me to fill things in as they're needed while we play.
Oh. And if there's a big city, please add farm land around it.
History is always good and fun to have - especially if there's missing pieces, or if parts of it are flat out wrong. History is, after all, written by the victor...
Holidays! Everyone needs holidays. They're useful for all kinds of things. They can help define the world, identify major players (small religious sects won't have a nationally recognized holiday, for example), and mark the passage of time while providing role playing opportunities. As we all know, nasty plots always happen during holidays, too. So they're doubly awesome to have. A lot of holidays could be regional, or only observed by certain subsets of the population.
Local customs are always fun; for example, in my game, every single tavern/pub commissions a bard to write a song dedicated to that business before the doors open that first time. Part advertising (if the tune or lyrics are catchy, you may sing it while you walk), part superstition about good luck, and part fun.
I like the idea of a "Dead Legion" as a subset of a military. People who are sentenced to death, but decide to go out with a modicum of honor by going againt the vicious beasties, with little to no chance of long term survival. A little cliche (and here I am trying to keep away from tropes, har har). Sure would suck if you ended up there accidentally. Ooops. But subsets of organizations like this (even if given just a brief paragraph) can expose a lot about your world. They show what kinds of special needs an organization needs.
Maybe the 23rd Royal Calvary is set aside for people who have earned favor of some kind or another, and they get extra pay with little, if any, combat exposure. Now, you have a ready-made insult, a place for intreague, something characters can stick into their backstory, etc., etc. Lots of little things like that, which can be sprinkled about, can be really helpful.
In fewer words: If there is a region of people, how do they live? What is their life like? What is important to them? How do they react to the dangers the world contains?
I apologize for rambling and probably babbling off topic, but I just started typing and dear god it is way past midnight now...
Making a game world that feels full and rich, instead of a couple of random cities with Dungeon
#14 on the outskirts, is really difficult. Take a ton of time and effort.