tzuk, you said it best.
I haven't had occasion to use it to save me, though I have used it to run some (ahem) questionable executables.
I've had no real problems with it, and it doesn't seem to make a difference performance-wise at all. The only quirks I've run into are Opera behaving oddly (though that may be due to other factors unique to this system, and I prefer Seamonkey anyway, which works perfectly) and Pegasus's mail files being too large for the sandbox. Sandboxie handled the latter quite gracefully, thanks for that.
I also just paid the registration fee tonight, after letting Sandboxie nag me for a few days.
Oh, and there's one other thing that makes Sandboxie a cut above: it runs on 2k Server, where some security apps refuse to. Yeah, I use Server as my desktop OS!