From my limited experience:
You need to give the players a reason to pick their own goals. You need to make this clear and upfront. You need to make their goals tie into the character sheet. You need to deal with the blank page problem - it's hard to decide to do something when you can do anything.
I just had my first "real" sandbox session, but the player-driven aspect worked. I accomplished this by:
1. Making it so the first thing I do as DM is ask them, "What is your goal?"
2. Putting "Pick Goals" as a discrete step in character creation.
3. Tying goals into XP and other character resources (Daily Powers).
4. During setting creation, linking elements in one place with elements of another, so changes in one place ripple across the map.
5. Building a handout for the players describing the interesting people and places on the map so they have something to choose from - but not limiting them to any one course of action.
You need to give the players enough information to make informed decisions, but not so much as the mystery is lost. I did this by tying everything to level - from wandering monsters to DCs to treasure to XP. Then you simply have to tell the PCs what level things are. I have seen the results of this - players who don't use their information wisely are going to be put in danger, as it should be.
You need to put pressure on the PC's resources. I did this by changing extended rests, limiting the amount of character resources that return each night. I haven't seen the results of my changes here yet.
You need to reveal the consequences of the PC's actions. I did this by forcing the PCs to interact with NPCs in order to refresh character resources. I haven't seen the results of my changes here yet.