A term that gets floated around my gaming table is the concept of "poison cookies."
I have a friend who is an excellent GM. Great, moody games with story and plot and PC agency all woven together into an amazing experience. You may not have a lot of closure on your character's goals (and may go through a few characters), but the game would be fun as hell to play in.
Things would get complicated fast in those games. Part of it, I think, was the stuff we'd get. We used to get a lot of what a couple of us called "poison cookies." That is, anything you got that was nice probably came with enough negative baggage to be (or at least feel like) a net negative.
These "poison cookies" could be items, information, NPCs, new PCs, magical gear, guns, gates . . . whatever. They'd range from helpful to vital, but always seemed to carry too much baggage. And the baggage would stay even after the value of the "cookie" was gone - the new PC would die but his enemies were now your enemies, the gate didn't work anymore but you're all marked by the nether forces for having used it, the information applies to some solved problem but the cost multiplies like credit card debt. You learned to be wary of everything, like a poor sap of a Paranoia clone hoping against hope that the thing R&D gave you has any good sides.
All fun and good in the game, admittedly.
While I loved those games, I didn't love that feeling as a matter of course.
So I try not to do that my players. I broadly try to have a mix like this:
Most things are what they seem, and come with totally appropriate costs. This could be money, or energy, or hit points, or time, or whatever. They can even outweigh the value - for example, getting Big Tony to do you a favor might not be the best idea even if that favor is really useful. Magic items are mostly all-good. Offers to help are mostly really offers to help.
Some things have hidden costs, or known downsides that continue. Magic swords that give you disadvantages. Coins that mark the bearer as being some kind of criminal. Firearms that work really well but are really illegal or really expensive to maintain and you don't know that when you first get them.
Very few things are almost entirely negative, like those poison cookies. Some of them are flat-out cursed.* Some of them are doppelganger chaos-assassins who pretend to be torch bearers. Some of them are helpful allies who turn out to posses totally inaccurate information you try to depend on. They may be malicious or accidental but they are just bad for you.
I feel like that's a good split for me. Most things are fine, but you need to be careful. Not everything is purely upside or downside. But a few things are just pure downside. This seems to imply a need for caution, but reward you (most of the time) for taking risks, and gives you the ability to generally weigh the likely consequences of your choices.
Still, I wish I had time to play in my buddy's games. Surviving two long campaigns without losing a character took real work but it was a great reward. I just know that style isn't something I like to run.
* Heheh. RING OF PRO.