One of the primary joys of being a referee or judge in a game is the design aspect where the game becomes a creative outlet. Creating a scenario, drawing maps, building a world, these are creative pastimes and the excitement and satisfaction of sharing my creation with others is a big part of what has kept me involved in the hobby for 40+ years.
The sandbox is my favorite method of world building. The term "sandbox" in adventure gaming refers to a setting where players can explore and interact with the imaginary world through maps, dialogue with the referee and the application of game/campaign rules. A referee map and good mental concepts of most aspects of the world is all that is really needed to get started. At first, the map can be of a relatively small area.
Do you need a big bad? Not necessarily, especially not at first. I try to anticipate all the questions players may ask about the world and its inhabitants and drawing on memories of everything I have read, watched heard about or imagined, I work toward a mental picture of this bold, new world, this "sandbox". I listen to the players and try to incorporate what they are interested in.
I like to start with a village, partly because there are NPCs to interact with and learn from in a village and partly to establish a relatively safe home-base, should the players desire one. Describe what they see, what kind of day it is, etc. Reveal to the players a few rumors including information leading to two or three adventures you have semi-prepared. Let them learn about one or two "good" deities that have local worshipers and perhaps the existence of one "evil" deity and one or two "monster" types that may pose a threat.
Conflicts are fuel for adventure and a good sandbox needs at least two or three factions that are in conflict. The presence of factions may offer the player characters certain opportunities. It's always up to them in a sandbox. Encourage the players to be creative. Once they have become acquainted with the new sandbox, ask them what they want to do. In a sandbox, the players often lead, the referee follows. It may be helpful, especially for players to whom the sandbox style game is new, for the referee to offer a starting encounter/ adventure, just to get things moving. And remember those rumors, wanted posters and job notices.