I run an open, Sandbox like world in my current campaign. For the most part, I still strive to make most encounters challenging without being overwhelming. However, I made it quite clear to my players at the start, there are certain things in this world that are established at a certain level. Go there too soon, and it will not scale down to you.
Recently, my players came across a large temple. It was meant to be a bit of a dungeon crawl, where players had to work their way from the bottom to the top. My players decided to fly to the top (they have a hipogriff), and start looking around up there. Never, ever, do I like to discourage creative thinking, so even though I knew I didn't want them to get into the room at the top before the rest of the temple, I didn't stop things. When they made good rolls, I gave good information. Eventually I let them blow off a bot of the wall, in the very last room of the dungeon crawl and go in there.
The rewards present by clearing this room were really great. If they managed to win, pulling off this crazy idea of starting here, they may not bother going down at all. This fight was meant to be a very challenging fight for them at the end, after they had gained two more levels. I did not scale it down. I killed two pcs that night, as they all fled for their lives.There was allot of profanity at the table. Everyone had an awesome time.
Whenever, the party is getting walloped I try to remember my DM tips more so than usual. Getting walloped by someone doing really cool things (described by the DM) and talking to you the whole time, is much more fun than the DM rolling lots of dice.
Now they know what to expect in that room. They've resolved to go back in the front door, and hit that final room hard, with a plan, and no less than a full party. Its going to be great.