I am currently running a 4e sandbox and it worked perfectly for 6 levels now There was a TPK but we started over with new characters at higher level.
We have a few houserules, but those do not really affect the sandbox campaign:
Some races are not allowed and we only use player material from the first two PHBs and the first four Power Books plus Forgotten Realms stuff).
Minions get a save when hit. If they make that save they are bloodied. Bloodied minions do not get the save.
I use Stalker0's Obsidian Skill Challenge system, because it is much easier for me to improvise with it.
So why does it work?
In my opinion points of light do not work as good as advertised in 4e, because that would mean having a lot of traveling encounters (you need at least 2 or 3 a day) while traveling between the points of light. For me thats just to many.
My campaign uses an inverse concept (Points of Darkness, so to speak). There is the Bloodstone Valley (Based on WotCs Chaos Scar), a place where evil creatures flok to, and where everyone wants to find treasue (the meteorite fall upon the former capital of Bloodstone) and pieces of the meteorite. But it is surounded by the peaceful, if evil, nations of Damara and Vaasa.
Within the Scar, my players are absulutly expecting frequent attacks and threats. They never act as if they will not have to fight some more this day. Traveling through Damara they expect no attacks, maybe some assassination attemp, but these are special and planned encounters and can easily match a fully rested group.
Nearly all of Bloodstone Valley is difficult terrain of some kind and the party usualy spends a certain amount of time watching out for danger and just not getting hurt while traveling. To cross all of it would only take them 3 days, but we played this for 6 levels now, and they never got further away from Restwell Keep (Their homebase) than a single day of travel.
Many areas are so dangerous that I use smaller skill challenges where the group might loose surges or get a disease or something like that.
As for higher level threats, I so far used a couple. An Othyug was hiding in a swamp. It was so though, the party fleed. The huge fog giant is roaming a part of the Scar.
Every encounter with it was a skill challenge, the party nerver even thought about attacking it, they just wanted to flee and hide (and once had to outsmart him).
The MM3 monster stats make this even easier, creatures of a higher level actually have enough power to kill your group fast. Usualy I make these high level creatures into elite or solos, giving my players an appropriatly epic fight, if they try to fight them. (Reducing the level by 4 each time I go up a category... an Oger can be modelled as a first level solo, when they encounter another one at level 9, it will feel appropriate to be a normal creature)
My most important tool are several sheets of paper where I printed thematicaly matched groups of monster including statblocks on. Running 4e encounters from books does not work for me, because of all the page flipping involved.