Years ago (I was still in Japan, so eight maybe?), I started writing down random rumors for a dungeon on the back of an unused worksheet during a break period. The list grew over the next two or three days, and in the end I went through it and started using the ideas to work up my first attempt at a Megadungeon.
That first attempt wasn't very satisfactory, but when I went about re-creating the dungeon, that list of rumors remained the core of many of the ideas in the version that saw play a couple years ago.
Starting with rumors was a novel innovation for me. Usually, I'd create the dungeon from general idea to map to key to rumors. Starting with the rumors gave me more creative freedom. Not only did I have lots of cool ideas (and some not so cool) to work with, but I didn't have to waste any of the extra ideas, as the ones I didn't use could be used as false rumors.
Now, I've just about finished my house rules for GamMarvel World, and I've written a few rumors and have finished the first location (map thanks to Dyson Logos, key by me) based on one of the rumors. Because this is a wilderness sandbox, I want all of the rumors to at least point to some sort of adventure (even if the rumor is partially or completely false), so I'm not creating nearly as many. I've got a handful at the moment, and plan to come up with more over time as some rumors get followed, and others are decided not worthy (or the players miss their chance). A half-dozen or so rumors leading to some sort of interesting place or ruin of the Ancients or faction stronghold gives plenty of choice to the players. Plus, they always have the default option of just loading up on supplies and striking out for parts unknown.
With XP for exploration and loot acquired instead of monsters defeated and loot acquired, this final option may end up more popular than it normally would be. Of course, that means I need at least a skeleton of an idea about certain important locations, and an ability to come up with minor adventure sites on the fly. I may try to prep a few small encounter areas and NOT put them on the map just for that purpose. Then I can add "Unknown Ruin" to the wilderness encounter charts and pull out one of these when the players run across them.
All in all, I think this campaign will go well, as long as the players' interest remains high. And I'm hopefully striking the right balance between too much and too little prep.