Mount & Blade: Warband is the sandiest of sandbox RPGs, giving the player a sword, a horse, and a low fantasy world to use them in. Six kingdoms go to war with each other at the slightest provocation and pretenders to various thrones try to unseat current monarchs. Castles are conquered, then won back, then captured again. Best of all, these events are unscripted; driven by systems and the player's actions. The player character can become a property-owning lord, even rising to be king or queen, or can rob passing caravans and use the funds to start a nation-wide chain of tanneries.
I began Mount & Blade as a landless son of a noble, winning fame by emerging victorious in tournaments throughout the land, and fortune by betting heavily on myself in said tournaments. Eventually, I was granted a fief by King Harlaus of Swadia, and, with my Swadian brethren, went on to conquer many towns through a series of wars with the surrounding nations. Things went downhill as other kings began to gang up on Swadia, and King Harlaus began drinking heavily, holding feasts while his kingdom crumbled. I'm currently trying to rally the Swadian lords and regain lost territory, and look forward to many more stories in the land of Mount & Blade.
The combat is some of the best I've seen in any RPG, too.