Seeing as sandbox games are the only sort I run, I suggest:

1)Know the world.... by this I don't mean you need to obsessivly plot out the 
world, that doesn't work - but you need to have an idea of the history of the 
world and the stuff that is happening around the PCs. I usually have historical 
timelines worked out for my world... from this stock the world with some 
regular NPCs that the players will encounter as good guys - this is useful to 
be able to draw the players into the world and give adventures (mentors to the 
characters are good for this); as it usually takes a while for the PCs to find 
their direction within the world and it's history. 

2) If the PCs don't stumble onto a story line that you had planned, don't worry 
and track in your mind how that story would play out without their involvement. 
Part of the fun of these campaigns is that what the characters do affects them 
as much as what they don't do.

3) Plan to the scale you want them to play at.... ie: if you want the game all 
based in a small town, then you have to be aware that if their awareness of the 
world, and their concerns about what is happening go past the scope of the town 
then you are suddenly going to have to expand the world. 

4) Also the problem of one PC not socially fitting with the rest - it's easier 
to run a sandbox game if the PCs all have a reason to regularly be together. eg 
:A local - pickpocket/theif in a game that involves other PCs that are 
politicians or working on matters of state rather then survival are tricky to 
play. So as a GM you need to make judgement calls on what a player should or 
should not play. This sounds draconian but in a sandbox game it's not.... a 
player will just get frustrated if their character doesn't fit with the others 
in the party - and that's not fun for anyone.

5) I keep a stock of maps from various tourist places at hand... an easy and 
cheap way to create sensible building plans, and also a phone book (to come up 
with names). 

6) I make two types of NPCs generic no-name types that can be reused as needed 
- change name and presto a new bar keep appears in the new town. These are 
quick sketchs that maybe only have one or two skills (if any)flushed out. The 
other type is the major good guys and bad guys the players will encounter if 
they go that direction. These I actually do up character sheets for.

7) Make sure you are ready to give info to players for adventures through a 
variety of means.... if they don't get the info from the mayor be sure the 
barkeep has his version of the same info. Be ready to think on your feet, 
players in these types of games usually manage to sideswipe your plans. I've 
had this happen so often that about half the time I'll just basically toss all 
the work I've done on an adventure idea back into my bag and just follow along 
the storyline they managed to develop. (Eventually they have so much happening 
the players drive the game, and you just provide the background.)

8) Keep really good notes about what you are doing as you are running the game, 
I often keep my own notes; and have one player that acts like a secretary and 
take notes about what is happening during the campaign. This is very important, 
because typically you are tracking so much in a game that sometimes you will 
accidently break storyline continuity or give away something they didn't know. 
I always start a game by having the secretary give everyone in the game a recap 
of what happened... this gives everyone a chance to recall what was going on, 
and to settle back into the personalities of their characters. 

8) Relax, and have fun... there is nothing worse then getting tied up in a knot 
because the players aren't don't what you want them to. If you come to the game 
without an expectation that the characters are going to do something to play 
into your plans then you are more likely to have fun and so are your players.
-Sue

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