Matt_Simpson comments on SotW: Check Consequentialism - Less Wrong
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If I'm thinking of games to reinforce consequentialism, my first thought is to use games with actual story involved; you don't lose points, or regions, or so on, you lose the lives of characters you're attached to, or their trust, or maybe you fail to prevent a genocide, etc. Things which people will be more likely to associate "this is a bad game outcome" with "this would have been a bad choice in real life."
The first solution that comes to mind for this is a video game, perhaps some kind of visual novel that features a large number of choices and forces the players to choose consequentially on pain of causing Bad Things to happen in the game. But I don't think this is actually a very good solution considering how much effort it takes to make a visual novel, which can be played in its entirety and will no longer offer a single new choice afterwards, and how many people are simply not interested in playing visual novels.
Maybe some sort of roleplay would be more feasible, at least you wouldn't be designing a whole video game for each scenario, but it still sounds like an awful lot of work.
I have two interpretations of your idea, so I'll just say what I think of both.
1) Underlying, known, game mechanics with a story behind them involving role playing.
I like this because it gives the players something they can easily point to and say "look, consequences!" in the game mechanics while making the situation feel closer to reality. However, reality doesn't give you the mechanics by which it works, so this may not translate into real-life decision making as well. On the upside, this is easy to make into a social game - think DnD but with less magic and dice.
2) No game mechanics, just a "choose your own adventure" game.
The consequences are more nebulous in this version, which is both a positive and a negative. It's a positive because it forces more brainstorming of actual consequences, but it's a negative because that makes it harder to initially start thinking about the consequences of actions. It's also difficult to make this type of game vary from playthrough to playthrough.
Starting with a type 1) game and then moving to a type 2) game seems like it might take advantage of both types' strengths. Alternatively, there's really a continuum between the two types, so maybe somewhere closer to the middle is best.