Theme Parks games offer a guided experience that is similar to other players of your class/race in general. If you start as a Goblin Warrior in WoW, your experience will probably be very similar to other goblin warriors. You'll do the same quests, go through roughly the same zones, etc. Theme parks generally opt for tight focused content, that is usually (but not necessarily) combat driven. Examples include: Everquest, World of Warcraft, Star Wars: The Old Republic, Lord of the Rings Online.
Sandbox games are more of an open-ended experience. Much of the content is player driven or generated. Typically sandboxes also have a variety of non-combat options which allow players to enjoy the game within being forced into combat. These games usually have a less guided approach to gameplay. Examples include: Ultima Online, Star Wars Galaxies, Eve Online.