Good suggestions above. Morrowind (and Oblivion) are about as free-roamy as you can get. There are a handful of free-roam-esque FPSs available. Just Cause, mentioned above, is one, and so is Far Cry. Obviously, free roaming means something different in a shootemup like Far Cry than it does in an RPG like Morrowind. In Morrowind, it means you've got an entire continent at your disposal, along with all the details on it--flowers to pick, houses to freeload in, and so on.
Far Cry has an open map, which gives you the opportunity to approach bad guys from the terrain of your chosing; naturally, though, it's a more limiting experience than Morrowind. The game is divided into sections (it's an island chain, after all), and there are zones and areas instanced mission to mission. And you don't, of course, decide what missions to accomplish--you just decide if you'd rather snipe the guy from the ridge on the east, or hike through the valley up underneath him, or drive a jeep through the brush along the west.
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