The central tenet of the sandbox game is that players have 'meaningful choices'. In RPG circles, the prevailing notion of meaningful is that their choices are informed, and that they have consequences. This is reasonable, as a completely uninformed choice provides no real agency to the players, and a choice without consequences, where all possible courses of action lead to the same conclusion, is just the quantum ogre all over again.
Now, my players will tell you that a lot of the time they make decisions uninformed, but I do my best to make sure this is their fault rather than mine. When I design dungeons, I try to build from the perspective of the original builders; traps go in places the occupants would've trapped (the gem vault, for example), rather than being scattered about at random. I do my best to warn them that dungeoneering and wilderness travel are dangerous, but conceal the specifics of threats and choices until they either probe cleverly and deduce a smart course, or stumble blindly and usually die.
As a sandbox DM, though, the study of consequences is ultimately more interesting to me. In real life, we're almost never aware of all of the consequences of our actions beforehand, so being in the dark about some of them is good for verisimilitude. Likewise, most actions have not one, but multiple consequences, usually mixed in whether they're positive or negative. As a general rule of thumb, I try to attach at least two consequences to each major decision point; one good result, and one bad (I often try to throw in one 'other' as well, but that often falls by the wayside), one of which remains hidden. For example, when the PCs wish for 20,000 pieces of platinum (as they did last week), the positive consequence is immediately obvious. The negative one has yet to come back and bite them in the ass, but it will eventually.
Sometimes, though, the PCs do something either so valiant or so heinous that I, as the DM, go "Only good | ill can come of this." I've only seen two examples of this so far while running sandboxes. The first was in my Traveller game in spring of '11. The party had been accosted by bounty hunters, two of whom they had taken alive. They left the prisoners in the hands of Tim's ex-marine while most of the party went looking for spare parts for the jump drive, and left Tim with the suggestion that he kick them out of the airlock into the nearest star. Instead, Tim concocted an elaborate scheme to send the prisoners, alive, back to their homeworld with a warning to their boss not to mess with him, and he pulled it off without the rest of the party's knowledge. This act of covert mercy at personal risk seemed to merit positive consequences (especially since the rest of the party was mad at Tim out-of-character), and eventually bore fruit when one of the bounty hunters provided advance warning of an enemy to Tim. Part of this was that Traveller is a 'civilized' game, where combatants often go unconscious and into shock rather than dying outright, and where killing people is a crime. The rules already discouraged these things, but it was a hard transition for D&D players to make, so I helped things along a little.
The other example ended less well. During the third or fourth expedition to Sandygates in the ACKS campaign I'm still running, Drew's henchwoman Lasai was mortally wounded, but survived with a "will be fine given bed rest" result. Drew's thief, Scarth, killed her in cold blood while the rest of the party was unconscious or distracted, to reduce the number of shares on the expedition. To add insult to injury, he then also left her body in the dungeon. The other players were appalled by this 'teamkilling', but had no in-character knowledge of the event, and so considered metagaming to remove a character they perceived as dangerous to their survival. I informed them that I agreed that Scarth had overstepped the bounds of the acceptable, but that no metagame action would be necessary, as I had the situation in hand. Between killing a helpless ally who was under his protection and would've recovered, and leaving the corpse in the dungeon, he had given me plenty to work with. Technically he did, briefly, gain the positive outcome which had motivated the choice - a greater share of XP from the expedition, and not having to pay a henchman. Eventually, though, Lasai's vengeful ghost came to haunt him, aging Scarth many years in combat and then retreating before the magic weapons of the party. Drew concluded that Scarth was no longer a viable character; he would have to spend the rest of his days on holy ground or be aged to death in short order, making a forced retirement to a monastic lifestyle in penitence for his crime a near-certainty. This assessment was correct, but ultimately moot, since Scarth was killed by morlocks shortly thereafter.
However, I think the whole incident put things into a little perspective. It established a moral distinction between killing one's allies and letting them die, and also reinforced the idea that dungeons are dangerous places where the dead rise. Was Drew's consequence fully informed? Perhaps not; he did not know that she would return as a ghost to haunt him. But it was a conceivable consequence, deducible and following from that mistake of leaving the body in the dungeon, where the dead walk. Had he brought her out to the surface and given her a proper burial, things might've gone differently; there would still be hell to pay, but it would've come through other, possibly less severe, means.
One concern of mine was that Drew / Scarth's censure may have shifted the campaign's tone a little away from the pulpy, backstabby sword-and-sorcery "we're just here for the treasure" themes that it was meant to be founded on, by putting certain targets off-limits. However, looking back at one of my primary sources, Fafhrd never offed the Grey Mouser over 15% of the take, that I recall. There were considerations of scale and of gameplay at stake. The recent acquisition of the aforementioned 20,000 platinum pieces has put inter-character conflict back on the table, but I'm OK with that; if it happens, it's going to be PC-vs-PC, not killing a helpless henchman, and it's very much in keeping with tropes of the Western genre. I also suspect that it probably won't happen; there's too much risk for the winners. One man with 20,000 platinum is rich, but easily slain, robbed, or threatened, especially if he was injured in the fight for it.