I have a very significant problem whenever I try GMing any given game; I try to provide a world with a lot of wiggle room for the characters as well as factions/NPCs they interact with. Oftentimes my campaigns are single session affairs with the players doing various things around the location with little interest displayed in them afterwards. Generally, when I ask for criticism about my campaigns, the number one thing that pops up is that my players feel like they have a lack of direction.

My question is this: How do I give my players direction, have them make their own direction, and make them involved while keeping a sandbox style game? How do I make this style of game fun for my players?