Postal 3 does exist, by the way. It just got horrible reviews and wasn't made by the same people as #2...

Also, I strongly recommend Just Cause 2 and the Saint's Row series, although they aren't first person. Both extremely fun games to mess around in when you just want to have fun.
Special mention goes to Red Faction Guerilla simply because it's based around being able to level buildings and generally wreck anything around you with whatever tools you have on hand.
Prototype is about as gory as I can think of in the same genre, but isn't really that great when you get down to it.

You also might want to look into Crysis. It isn't entirely sandboxy, but it has a great environmental destruction engine, and messing around with all the different ways you can wreck people and complete objectives is a lot of fun.