Not in order of best to worst, order of popping into my head.
1. Godfather (Black Hand Edition) - Taking over the city piece by piece is incredibly satisfying
2. Bully - Rockstar's best sandbox game, so different and refreshing from the usual crime based sandbox game
3. Crackdown - Just simple fun, great controls and player mechanics, got tired of it by the time of the sequel retread
4. Grand Theft Auto III: Vice City - Driving around "Miami" listening to classic 80s tunes was very Zen feeling.
5. Endless Ocean - Completely different from any of the other games on this list. You felt relaxed after playing
6. Scarface: The World is Yours - Another game with the addictive empire building component, Plus Tony's one liners are entertaining
7. Red Dead Redemption - Gorgeous game, probably got the Western feel the most right of any video game.
8. SpiderMan 2 - the first action game that integrated sandbox gameplay to great success, great feeling swinging around the City
9. The Incredible Hulk Ultimate Destruction - Great fun destroying things in this game, The Hulk is just fun to control
10. Batman: Arkham City - Great combat mechanics, I loved running around an open Gotham city and interacting with these characters.
Honorable Mention:
No More Heroes - A parody of an open world game
Postal 2 - I really like that you could go through the game without actually going on a rampage.