So, when you're running a sandbox style game as opposed to a railroad adventure, one of the big things that sets it apart is the fact that your PC's actions will have consequences. This is all too often forgotten in the sandbox game. Because unlike a railroad adventure where the PCs will always pop into the room with the evil mage right smack in the middle of sacrificing the virgin, the sandbox is a different animal altogether. In the sandbox, you have a world, full of NPCs and villains and what all and they all have their own plots, schemes and motivations, and shit is happening in the background. Sometimes it's major world changing shit, and sometimes it's not so grand, but the point is, when your PCs act, or DON'T act, their should be consequences and those consequences should affect them.
If you have been following my Cormyr Campaign series of blog posts, you probably recall that in the first session, the party had an opportunity to find a pretty powerful artifact (although they didn't know it at the time, of course.) Unfortunately for them, they botched this effort and were sent on a wild goose chase through the Stonelands outside of Tilverton. In the time it took them to make their way back into the city (after discovering that their original retainer was basically a bad guy) a lot of shit went down.
So, in sum, they made their way through the goblin smuggling tunnels from the Stonelands back to the sewers of Tilverton. Cleverly disguised as bandits with a passphrase to get into the thieves guild controlled sewer system which they retained from a bandit encounter, they were ready to get back into the fray and find this thing before it fell into the wrong hands. They were too late. Instead of tracking down this thing (which they learned a little about while in the Stonelands), they were greeted by undead...who were multiplying rapidly.
After an encounter with a Purple Dragon patrol in the sewers, they discovered several things had happened in their absence. First, all of the priests from the friendly temples in Tilverton had been murdered almost simultaneously. The undead had begun ravaging the sewers and some were making their way to the city streets as well. The Purple Dragons had uncovered that the ancient crypts, sealed up long ago, had been breached from the inside. Something blew the seal open, and it was believed the source of this chaos, whatever it was, was stemming from somewhere within the crypt.
So, this now leaderless Purple Dragon patrol (their sergeant killed earlier by said undead) were commanded by one of the PC's (a hedge knight in Cormyr) to accompany the party into these crypts to investigate. Along the way, the party discovered a secret temple devoted to Myrkul within the crypts with lots of evil necromancer types, a few undead, and a group of stone guardian golems (which almost resulted in a TPK.) As the session ended, they were spending time resting and recouping in the crypts attempting to gain some strength (and lost hit points) before pressing forward. Their resources nearly depleted (most spells cast, hit points low, etc.), they now face the dilemma of spending valuable time restoring resources or pressing forward. They choose to restore their resources. Again, this action has consequences. One they'll discover in the next session in the form of a 7 hit dice abomination summoned from the Abyss.
Shit has hit the fan in Tilverton, and the more the PCs delay, the closer they come to losing the city. Because their actions have consequences.