A portion of a Gamasutra interview with Eric Lindstrom, creative director of the upcoming Tomb Raider: Underworld...

GS: How do you create that illusion of freedom without letting the player feel like, "Oh, this is like GTA -- I can just go off and do whatever," while still keeping their eye on a goal and keeping them focused? Letting them feel free, while following the cues that you want them to follow...

EL: We often use the words "exploration" and "discovery" than "freedom," because it's not an open world in the sense that people mean "open world." When you go into a new exploration space, we don't have dot-to-dot paths that the player can follow. There's just an exploration space, multiple connected areas, and multiple puzzle and combat elements that are used like ingredients in a larger recipe.

What players feel when they go into that space is very important, so making them feel like they're driving the experience... that they're the ones determining what they want to explore, and the reason why is that it feels free, even though you're not in a wide-open city with the ability to go anywhere you want.

There are a lot of logical boundaries. You want to open this ancient door that's not been opened for two thousand years, and once you solve these puzzles, you open it, and you go on to the next area, and there are more challenges there. So there are logical constraints that drive it forward, but people still feel free, because they're the ones determining how they go forward.

Full interview here