If your players are unconcerned about the consequences of their actions, then you're not GMing in a way that will make them care. When I GM, my characters are very careful about the morality of their actions—they're aware that they are in an interactive world where every choice has a consequence (and I make sure they're painfully aware of this).
Oh, I make them aware of it as they would attest to, if I could get their lazy arses to register here. Most of the behaviour stems from another person being behind the screen that played to his audience, so to speak. They had fun with it, so it continued.
Its not just a matter of morality here either. There are grey area actions that have consequences that, for some reason, they are less scared of in a "good" game. Its not that they don't suffer the consequences, just that they haven't touched the hot stove enough quite yet.
Being on the other side of the screen, one of the things that I've noticed is that, with my players anyway, they seem less concerned about consequences of some of their actions when playing good characters. Not necessarily evil actions mind you, but things that could come back to bite them later.
For some reason, they think that being good gives them a pass. It doesn't, but that seems to be the mindset.
One of the things I really like about WFRP (1st or 2nd) is that it includes massive support (especially with the expansions, but some in the 1st ed. core rulebook) for playing evil characters, but it always comes at a cost. The idea is, you may be able to get extreme wealth, power, or glory, but you can always expect your character to die in the end, possibly in some horrific way.
They added the support for it in 3.x later in the game, but the core rolebook was, and the new edition still is, missing any real support of evil characters. I suspect that WOTC intends on including the support for it later on. Thus the post above. Certain OGL games are more "alignment neutral" (True20, D20M, Spycraft, MnM), but D&D focuses on the good guys, and lets be honest here...."a hero is a hero, but everyone loves a good villain" (Ferb Fletcher - Phineas and Ferb)