Excellent stuff from Zak Smith today on the importance of rogueishness in sandbox games.
What I'd add to it is that not only do rogueishness and sandbox play go together like [insert analogy of choice here; I recommend "chips and gravy"]. The also make it a heck of a lot easier to GM.
This may be controversial, but I've always thought that the plotted, story-driven style of play so popular in the Silver Age of roleplaying games (and depressingly still the dominant paradigm today) puts a heck of a lot of pressure on the GM. Not only does he have to structure his campaign and give it a beginning and a middle and an end. He also has to create scenes, build climaxes, lead his players on a consistently entertaining merry dance; he's worse than a puppet master because at least a puppet master is under no pressure to entertain the very puppets whose strings he holds. While admittedly the scope of a plotted campaign cuts down on prep (if you more or less know what's coming, you don't have to worry about unforeseen circumstance), it more than compensates with the workload it generates in just dragging the entire campaign along.
Sandbox gaming spreads out that workload and creates equality. While there's an onus on the GM to do the groundwork with hexmaps, weather tables, random encounter generators, and adventure hooks, it's up to the players to be the engine of the game. They're the ones who make the decisions and drive whatever "plot" arises. And of course rogueishness helps enormously in this; heroes need villains to fight and plots to foil, which again forces the GM to come up with narratives. Rogueishness generates its own stories.
This is one of those areas where the oldest of old school, and the newest of new school, find an overlap. The Kewl Kids over at Story Games spread the workload by giving narrative control to players through explicit mechanics. The fatbeards do it by saying "fuck story, be a rogue". But the end result is more or less the same.