I just think that if the GM is being fair and on the level, often the players' actions will punish themselves. For instance, the other night a player had his character go off alone from the rest of the group (silly option #1), then he charged into a Necromancer's back room (silly option #2), then he saw a small cadre of undead begin to rise up and come for him and did not flee (silly option #3). When the Necromancer and his undead ripped the character to shreds, the player seemed to take this passive-aggressive attitude towards me and felt as if I had somehow punished him. The other players were begging him to flee yet he clearly had some weird deathwish.
I guess in some sense he was 'punished' but punished by his own actions.