Sandboxie is not good enough, particularly for anyone using warez.
A few things ...
1. A lot of applications provide full featured time limited demos. Using a virtual machine means you can just 'install from scratch' every time the time limit runs out. HDD space is not a that expensive any more. So, you create a (say) Win XP VM, with your basics, antivirus, etc. Create a copy of that. Then, everytime you need a VM, just copy the 'default' and use one that you can trash.
2. AV + rootkit scanners + insert fav tool = not enough
Seriously. This assumption that because an antivirus scanner found nothing means there is nothing is a bit dumb. Sure, they probably get 99.99% of the stuff out there, but something can slip through. Have a VM you use for new crap, another one you use for crap you trust, and possibly another one you use just for totally 100% legit shit.
3. Compromised once = fucked
I see a lot of people posting that they got a virus infection on their machine, but they cleaned it. Bullshit. If you were dumb enough to get infected in the first place, you are not smart to clean it out. Really. Do a total reinstall of the OS already. VM just means that you copy another image with your presets already installed.
4. Even legit software breaks shit
People have this unwavering belief that software always works. I have seen what should be trivial upgrades break OSes in many interesting ways. It gets really messy when you have tons of software already installed on your machine. Use the VM to try out all upgrades and updates before you roll them out onto your money machine.
5. Obscure tools and versions
Back in an old job, we had a machine that was still running Win '98. It ran some obscure bit of software (I think there might have been some printer or scanner driver issues too) by a now out of business company, that could only run on win '98. Many had tried to get it to run on XP, but without the sources, no joy. So, we kept a box running '98 just for this. VMs allow you to run the software on the OS that works best.
6. Trying out software
It is much easier to use a clean VM, install a dozen warez or trialware, give them a go, choose the ones I will keep, and then trash that VM and install the approved ones on another one. Uninstall does not work 100%, 100% of the time. You end up messing with registy cleaners, this that cleaner, uurrrgggghhhh!!
7. Some of us run *nix as the base OS. Wine only goes so far, so VMs = good
8. Shared machines
A lot of people share machines. Keep your money software setup in a VM. You'll thank me when your teenage daughter installs that really *cute* screensaver from warez-r-us, or downloads that attachment from 'Aunt Flo in Maine' on your shared computer.
I could go on, but there are so many reasons and benefits of running VMs.