depends on the game. if there's actually something to do -clear out groups of enemiesand making the area safer, collections to do, popsicle stands to rob- so, GTA IV is too big, since there's nothing to do besides wander and . Don't even have enemies that attack you, besides cops that come straight to your location when you do something, even if it was a random citizen instead. Saints Row 2 is much better this way -minigames, takeovers, gas stations and stores to rob... random shootouts between little old ladies and the cops that DON'T involve you automatically...
I love just wandering around JC2; I once spent 40 minutes just doing that grappling-hook/paraglide thing along a road! Got a third of the way around the main island... Also, it sounds like a lot of you don't know about the helicopter insertion quicktravel. Granted, you have to go to a place first before it becomes insertable, but since the game's so beautiful, and worth exploring...