I have played many adventures in the past with characters less than optimally armed and armoured (such as after been captured, attending a ball, sleeping, ambushed). 4e doesn't make it any different
Maybe I'm misremembering, but every Dark Sun adventure I've ever played in started with the PCs being slaves or getting enslaved, and losing everything.
Considering it was a "tougher than normal setting," that always seemed like overkill...
It's fun if handled properly, but as Cap states, it's not easy to balance encounters that way. I mean, your Wiz, Warlock and Rogue types are likely operating at full power and defense (or damn close to it!) while the Fighter, Paladin, Cleric and Warlock can attack at full force but have their defences COMPLETELY NEUTERED. Either throw creatures that have low "to hit" scores at them or do significantly less damage than a typical encounter that would be balanced.
Sending in Lurkers or Brutes might be big trouble.
If your players like that kind of challenge though, do it up. If they whine even once, never, ever pull that trick on them again. It's like ending a campaign with "...and you wake up, realizing it was all a dream."
I literally got my #@$ kicked for doing that. Literally. It was sore for days.