Back in my formative days of D&D, when the Moldvay Basic Set opened the door to the mythic twilit realm of dungeon adventuring for me, the dungeon to which that door led was the Caves of Chaos. For what seemed like an eternity - a FUN eternity - there were no other modules. The Basic Set, and the copy of B2 included with it, were acquired second-hand by a relative, and I had no earthly idea at that time where to buy any other D&D products. The Keep on the Borderlands was the center of our little universe, and it delivered, big time.
It's no exaggeration to say that B2 was entirely responsible for informing my ideas of what a dungeon should look like and how it should work. Gary Gygax had thoughtfully marked a location on the map called the Cave of the Unknown, and stated that it was for me to map and stock the dungeon therein. For the first few game sessions, I left the cave undeveloped, and reluctantly decided to follow his advice and not allow the party to find it, even if they carefully searched the very square that contained it. When that proved unnecessary, because they never ventured close to it, and I had gained a bit of confidence that this game was going to be something we'd be doing for a good while, I scavenged some graph paper, drew a map of three dungeon levels, and wrote up a dungeon key.
I was very proud of my Cave of the Unknown, not least because it completely avoided being a cheap knockoff of the Caves of Chaos yet still, in my eyes, remained true to the feel of the setting. Rather than copying the warrens of orcs and goblins, I made this cave a network of chambers inhabited by weird and reclusive creatures of the dark, things that did not go raiding against the keep and its environs, but seldom left the eternal night of the underworld - shriekers, cave locusts, a few troglodytes, an ochre jelly. It featured a great central cavern deep enough to be part of all three dungeon levels, and in its lower reaches was a still underground lake that my players eventually dubbed the Lonely Water.
As the Caves, Chaos and Unknown, were explored, their monstrous denizens rooted out, and their treasures plundered, I expanded the wilderness map. There were more caves, some ruins, a dreaded sheer-sided mountain where a red dragon lived, and a swamp in which the party of 3rd level characters managed to dispatch a black dragon. As they continued into the wild, the woods gave way to grassland and to desert, and the characters discovered a beleaguered sister keep...
Eventually we did buy and play other modules, but they never quite captured the same magic. I tried to write my own adventures, in the mold of those modules and the ones published in Dungeon magazine, and they were fun, but not Keep fun. It certainly wasn't that the stories were bad, per se. It's only recently, as I look back with 25 years of hindsight, and maybe even more significantly, the combined insights of a lot of other (and often wiser) people doing exactly the same thing, that I understand why B2 rocked while other modules faltered.
On those mythic Borderlands, the player characters didn't just take part in a story, they were the story. I'm reminded of a concept from my studies of economics - central planning vs. spontaneous order. In a centrally planned economy, one person or small group of people decide what is to be produced and how - in essence, an economy organized by the command of a ruling elite. No matter how smart and benevolent they might be, they are always imposing their own preferences upon the masses, who have little say in the direction of things. In an economy of spontaneous order, it's precisely the desires of the consuming public that determine what is to be produced and how. Those story-centric modules are examples of adventures centrally planned by the author; no matter how wonderful and dramatic the story he or she has written, it's still imposed upon the players, whose freedom is therefore limited in order to keep them within the parameters of the plan. The stories that emerged on the Borderlands were the product of the spontaneous interaction of the players with each other and the game world. Gary and I supplied the raw materials, and the players determined what stories they wanted to produce with them. The lack of central direction didn't make for incoherent or unsatisfying stories; it made for stories that the players cared about, and that in turn made them more exciting and compelling.
When I ran modules with an explicit goal and story, I was always a little bit uneasy. There was a pressure that was not present while watching the party marauding around the Borderlands. This was a one shot deal! What if I dropped it on the party before they were strong enough to complete it, or when they were already too strong and it was a boring cake walk? What if they went off the rails and forced me to wing it, rendering the remaining content of the module - content that I had paid for! - useless and irrelevant, and spoiling the predetermined selection of possible cool endings the author had foreseen?
That was never an issue with the sandbox of the Borderlands and my homebrew extensions of it. If the players got bored with the path they had chosen, or decided that they had bitten off more than they could chew, they were free to veer off in some other direction. Maybe the path they abandoned would still be there when they felt ready, maybe someone else in the campaign world would have dealt with it by then, or maybe it would have evolved into something different in the intervening time. Whatever happened, the story was never ruined, because it was always the player characters, not the setting and not the NPCs and monsters in it, who were the story.
There's one more reason why the sandbox of spontaneous order appeals so much to me, perhaps a more selfish reason, but important nonetheless. Much of the fun for the players on the other side of the screen is discovering the world you've brought to life for them, all the dangers and wonders and surprises. Giving them as much rein as possible allows me, as DM, to experience that thrill of discovery too. There may be no surprises for me in the dungeon; I may know every nook and cranny of it, every monster and magical oddity waiting in every chamber, but when I give over control to the players, I can still be surprised by the twists and turns of the story that takes place in the dungeon as they write it. As DM, I'm playing the game to have fun too, and when it comes down to it, I'll take the fun of discovery over the fun of control any day.