A sandbox is a place to play, and there are many virtual sandboxes online. These are also places to play with specific kinds of code. An HTML sandbox is a website that allows you to type in some code, and then you can test to see how it looks. This allows you to experiment with some HTML without having to host any of your files.
A couple of good places to find HTML Sandboxes are:
http://htmlsandbox.com/ - Strictly HTML only. This will also show you the general structure of a page. Your HTML will go in between the <body> and </body> tags.
http://cssdeck.com/labs - Another bare bones sandbox like JFiddle. This is strictly for trying out code and will not give you the whole page template.