One of my favorite games when I was little was Lemmings. I could play it for hours, every time from the start, hoping to be able to reach a little bit further. The concept is simple, but still ingenious: guide a bunch of single-minded creatures safely through a level filled with bottomless pits and deadly traps by commanding them to dig, build bridges, climb walls, etc. Only a set amount of actions of each type is available, and the game requires both strategic planning as well as quickness if you are to be able to carry out your well laid plans before all your little creatures are dead. Of course, I was not very good at this when I was little. But what made the game so fun to play again and again anyway was that you could be creative, and come up with different plans for how to get through each level. No two games were the same, and experimenting with different strategies gave the game a bit of a sandbox-like feel. I had almost forgot how fun this was, when I found Pingus. Being a modern free Lemmings-like game, it does all that made the original so good with nicer graphics and a few new cool touches. I especially like that each world has a world map, where you can track your progress through the various levels. Lemmings also had a nice sense of exploration, since there were so many levels and each had something unique and interesting to it. Pingus does this too, even though a few more level-sets would be nice. It's not perfect, but is does have some polish put into it and feels well put-together through and through. If you're curious, give it a try! Download here.
Oh, and if you want something more classic, there seems to be another open game of this type called Lix as well. Will give it a try in the future!