Two fantastic threads on the subject of the much-maligned Google sandbox are offering some excellent insight and advice. Both of these threads are at SEOChat:

1. From larrysart and later Phoenix (Ben of SERoundtable fame) - Out of the sandbox. Discussion is particularly good on the subject of sites that did not get sandboxed thanks to a lack of SEO - they obtained natural links fast, but without tripping the sandbox filters.
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2. From Olaf the Stout - Sandboxes, sitewides, and SERPs... oh my! - A fantastic example of how a sandboxed site's links still carry great weight if directed towards non-sandboxed URLs. This is some of the best evidence I've seen of both the existence of the penalization, and the manner in which it is applied (only to the URL itself).