Master of Orion I and II. Play #1 first, I like it more, the controls are very streamlined. Go for Huge galaxy size obviously. Might be a it shortish after SEIV though.
Master of Orion III is even bigger, but had issues. I don't mind it though (after applying offiicial patches, it improved a lot, and there's a major fan-mod which is supposed to add even more)
Alpha Centauri - civ derived game, LOTS of cool stuff and wierdness.
Stworca, have you played the X-COM games? They aren't exactly sandbox, but they are pretty close to it. And they're hard, if that matters.
HAHAHA did you hear about the bug in X-Com 1 ? ALL the 5 difficulty levels were actually set to "beginner" and the game was so innovative, and difficult even on beginner that NOBODY EVER NOTICED (this is fixed obviously in some versions)
When X-Com 2 came out Microprose asked players for a "wish-list", veteran players asked for "more difficult settings".
They set the new Beginner level to the "Superhuman" settings from the original (what it was SUPPOSED to be!!), and the new hardest difficulty was like 4 levels harder than that!
X-Com 2 on Superhuman is utterly unbelievably difficult. Play the original first though, for the "classic" experience.
A tip for extending the X-Com game for as long as you can cope - find alien base, raid alien base but do not totally destroy it. Loot everything but leave at least 1 alien alive, then escape to your transport craft. You can constantly rotate squads to train rookies up this way, and BREAK THE BANK. This works even better in X-Com 2, with large two-part base missions with excellent weaponry to capture. Watch out for the lobsters, though.
I was pulling in 250 MILLION a month with this trick (25 times the normal budget) and had 4 squads training up at the same time. Normally you're hard-pressed to train a single squad at the start of the game.
btw, don't try the above at home. You WILL die, unless you know the game inside out.