I may be a little late to the party asking for help with this now, but I thought I would anyway.
Back in 1996, the first couple installments of a gamebook series called Fabled Lands was released. Unlike the more well-known Fighting Fantasy and Lone Wolf where you got one adventure per book, Fabled Lands was instead an open sandbox series. Each book covered a different part of the game's world, and you could explore them in whatever order, play any class, worship any god and side with any faction you chose. If you got too close to the borders of one country, it'd tell you to turn to the appropriate section in the appropriate book and you'd just keep going. Before you worry about dying and losing all your progress in such an epic series, you could even make arrangements in most temples to be brought back to life in case worse came to worst.
The bad news is only the first six of twelve planned books were ever released, but the good news is the books are being rereleased now, and if they sell well enough the authors will get the rest of the series out.
You can buy the books off amazon, and if you're into interactive fiction you'd be doing the whole community a favor by adding your sales to the overall numbers.