I think they can be fun, but it depends on the approach and they are prone to a lot of pacing issues. I've enjoyed a few, but I've always felt they were wanting in various ways in terms of controlling the pacing and delivering a sustained experience.
Of course, you could argue they suit a gameplay experience that is fragmented - i.e. I could play a few GTA missions, walk away for a while, come back and just pick some more and not lose to much flow, whereas titles like Uncharted are just begging you to play right through like a movie and get an unbroken experience.
The other issue I have with sandboxes is they often fall into the jack of all trades trap where the gunplay, driving (riding) or whatever is never as good as a more linear, focused title, although they do offer a lot of freedom.
Recently I thought AC2 did a good job of balancing a linear structure/narrative in a sandbox environment, but it's always hard to stay fully immersed. RDR also felt better than most I thought - although I love western's so I might be swated by setting there.
I keep thinking of how, in Olivion, while the world is coming to and end you could decide to take a subquest to catch a potato thief instead of cracking on with the plot... that aspect of sandbox titles, plus the ability to ruin progression of the story, always seems to dog them.
Personally, I think it would be better in sanboxes to drop any master plot and just have a series of sub-quests of various sizes and nature that have a cummulative effect on the game.
For example, in AC:Brotherhood you can slowly unlock terrotry which opens up new quests. That felt natural and it occured to me that you could easily remove the overaching plot - which was a bit weak in Brotherhood anyway - and just have you as an assassin rising through the ranks and slowing affecting the territory around you.
Try to be reasonable... its easier than you think...
