Gonzo is awesome!
As a side note: I like sandboxy games where players explore and find their own adventure; however, I don't like the "let's wander around town and start shit" game where the players burn down the tavern and kill the locals just to make stuff happen. That drives me batshit crazy, not to mention it's the perfect way to make sure you don't get invited back.
If you aren't happy, let's talk about it or just don't play anymore. We're all adults here.
DMing style
Here are the "merit badges" that exemplify the style of game I run (or at least, aspire to run); hover them to get more information on their meaning:
Let's get this out of the way first
Don't be a jerk
A table rule that I want to throw out there, and it might as well be first.
Don’t be a jerk.
Nobody likes gaming with a jerk. Nobody.
I've gamed with enough jerks that there's actually a document for table etiquette for games.
This is a beer and pretzels game
Most people play the game to have fun. We're here to have a good time and keep it lighthearted, but we all know the gamer that took the game Way Too Seriously™. Please, don't be that guy.
The DM is in charge
Rule zero is in effect: the DM is the final arbiter in the game. I want to keep it fun, keep it light and keep it fair, so it's my goal to be equitable and unbiased. It's also my goal to have fun and have a good game.
Let's keep the game moving by not bickering about rules or rulings. If you don't like a decision, we'll make an on-the-spot ruling and then go into it after the session is done. We can see what we can do to address it after the fact (if anything, and without retconning).
As a corollary to rule zero, rules lawyering by players is right out. Rules laywers are likely to meet untimely demises (whether that's characters or players is to be determined).
I like to tinker
I am an inveterate rules tinkerer. I love making new rules, monsters, spells, etc, and changing the old ones. Don't expect everything to be like you know it from the published book.
Here's how my game rolls
Player skill is often a deciding factor
Players should bring their brains to the table. Instead of relying solely on dice rolls to find traps and secret doors, expect to actively look for their signs. Want to defeat a really difficult monster? Use some interesting tactics. Also, sometimes I put something in the game I just don't think anyone can get by, but your creativity might just get you past it and into an area that's never been explored.
Death lurks around every corner
Character death is a real possibility. Plot immunity does not happen for PCs or NPCs. Your precious snowflake character concept might not make it past the first room of the dungeon, but know that if he does you did it on your own! Your characters are operating without a safety net.
Be prepared to run!
Sometimes you have to be ready to cut bait and fight another day! Not every monster can be defeated, and not everything is "level appropriate." If you live by the phrase "death before dishonor," be ready to roll up a lot of fresh first-level characters… I think a more apt phrase may be "live by the sword, die by the sword."
What you can expect from the game, content-wise
Exploration and mystery
This game is similar in concept to the fabled "West Marches" game where players are presented with a wide-open area to explore and uncover its secrets to find fame and fortune. However, as you get further out into the unexplored things may get a little wilder and woolier than you expect…
Also, like old computer RPGs from the '80s, town is somewhat abstracted in that there's not really adventure to be had there. Rather, it's just a place to rest and resupply. Adventure is out there and not in town, so let's agree to find adventure out there.1)
I love me some wacky
Wacky is the way my world is put together. You don't get to pick how the real world is put together, so you don't necessarily get to pick how the fantasy world is put together.
I think of fantasy and science fiction as chocolate and peanut butter in that each is great but when you get them together they're even better. If you don't like them together or you're allergic to one of them… well, that's unfortunate.
Also, falling in with gonzo is the fact that not everything makes sense, or at least sense that you can make of it. If every trap has to be thoughtfully designed, if every dungeon space has to be ecologically-based, if every room that has an orc and a pie ruins your fun… then you will find things that will make you unhappy.
Content may be disturbing, player discretion advised
I covered this in its own page, but I'll include it here:
Sometimes things are just… psychically wrong. There might be things make you wince and feel a touch squeamish. In short, some content may be disturbing to some players. Some things should be disturbing to players to create atmosphere and connection with the game world.
When I mention "disturbing content" it is meant in a Lovecraftian sense, but it could also be in a "Saw" or face-of-evil, gratuitous gore or violence sense, too. In general, graphic sex and sexual violence are completely off the table (I'm not really talking about boobies; who doesn't like boobies?), but other societal taboos are not:
- body horror
- slavery and slave trade
- human sacrifice
- murder
- violence against the weak, including children and animals
These are common themes in the source materials that fantasy games draw on, and it's not unheard of that enemies and villains2) may partake in them. I can't see elaborating on any of that in graphic detail or in a way that triggers someone, but if the very idea of it existing or merely mentioning it during play is hard for you then we might occasionally cross a line for you. 
I guess what I'm trying to say is that my games can potentially be rated M for mature for violence, disturbing scenes and language, but it's not guaranteed.
(On the plus(?) side, if I am making the game more squeamish, it means I'm more comfortable with the folks around the table.)
Rule of the dice, baby!
Normally this DM merit badge is for dice, meaning that the dice are rolled in the open and there is no fudging. I'm not so much on the rolling all dice in the open because I think it lends some tension to the game when the DM's dice are rolled in secret for things the characters could not know (or know whether they are succeeding or not), but I definitely won't be fudging results. Most rolls that can be in the open will be in the open.
However, I also think of dice as an agent of randomness and serendipity. Sometimes I want the universe to speak to me and I am just its oracle at the table. Dice, cards, random number generators, the position of light play on a surface between blinks, etc., are all means to that end.
I like to riff and improvise at the table
I can't think of everything. I mean, really, we all have limits to our creativity and we often fall back on a small number of tried-and-true ideas. This means that with the amount of content that has to be made for a sandbox game there may be a bit of a rut that develops. Often times during games I will likely try to make some things up on the spot (for good or ill).
I mirror back good player ideas
Hand-in-hand with improvisation, as the game goes forward the players will often push things in interesting ways or an idea will float across the table that's just too good to pass up. Often, I will grab it and run with it (although perhaps not at that session), especially with any twists I come up with for it.