We started to play a sandbox-style Shadowrun campaign a while ago. Normally, Shadowrun isn't the first system you think of when someone mentions sandbox, but it works really well. None of us play the normal runner characters, we're just trying to survive in the slums of the Redmond Barrens. So I took the chance and made myself a shadow doc who had build a shadow clinic at the Rat's nest. Unlike the sourcebook's Rat's Nest, we decided to make it into a working community where people look out for each other and soon, my doc turned into one of the leaders of that community. I hadn't planned for that. And I also hadn't planned for the fact that Neil was no longer a character to do much outside the Nest - he had his hands full dealing with all the people in the nest and to make the Nest work.
So I took over Rusty, one of the gang members from the Nest, a young man who dreams of becoming a runner. I've been playing him for a while and he just got the offer to learn how to fly a small plane and to work as a pilot (with a side order of smuggling). At the same time, the group is planning to break into a chocolate factory - a plan that could make us all rich, given how rare chocolate is. But it's also risky and with a steady job on the line, Rusty doesn't want to risk it. And so I get to play a third character, a former NPC who is involved in the chocolate factory run.
I very much like this about the Rat's Nest campaign - with so many NPCs and such a lot of potential stories, I have the freedom to decide that my characters just won't do some things. I can of course do that in any game, but often it means being left out of the next few gaming sessions or playing a one shot character, something I don't like all that much.
Three characters is quite a lot and it takes up some time to not neglect one of them. We play a lot of small scenes on Skype or by email, the campaign is heavy on social interaction anyway. It also gives the GM a lot of ways to introduce stories or information, Rusty will for example hear things Neil doesn't. I only recommend this style of playing if you are prepared to invest more time than the average character needs, but it really is worth it.