There's a good deal of sandbox style games, but I think I know what you're getting at. The problem most people have with games like the old Final Fantasy's is that there is sometimes too much choice, since you can often wander around without finding the character you're supposed to. These days, games tend to follow a constant reward system, where the player is constantly making progress, or is given a proverbial carrot to follow. There's really no more of the "wander the F* around until you find something useful", because it doesn't play on human psychology in the same way. The short, easy reward
games are more addicting and more immediately rewarding (Though certainly not necessarily better).
There's games like Oblivion and Morrowind(Though thats probably considered a classic by now), which kinda have the free-roaminess of certain classic RPGs, but in Oblivion especially, you're always given an easy, surefire way to track someone down.
However, for the most part, I think game designers have noticed the psychological reward system sells games because its so addictive. You're constantly getting positive feedback for completing challenges that are just hard enough to not be boring.