It's also completely possible to use purchased adventure modules in sandbox play.  In fact, purchased modules make things a lot easier, since you don't always know which way the players are going to jump.  To use some classic examples, if the players decide to hire up as mercenaries to defend the free lands against the scourge of the Slave Lords, then you can run them through the [four-part Slave Lord][1] adventures.  If, instead, they decide they want to tackle (literally) bigger challenges, they can head north to fight [Against the Giants][2].  Either could lead to [Descent into the Depths of the Earth][3], or, if the players don't want to follow up on those clues, to something else entirely.  The key is to give the players the choice in what challenges they tackle.


  [1]: http://en.wikipedia.org/wiki/Scourge_of_the_Slave_Lords
  [2]: http://en.wikipedia.org/wiki/Against_the_Giants
  [3]: http://en.wikipedia.org/wiki/Descent_into_the_Depths_of_the_Earth