Yes, absolutely. I think that some of the most fun RP is when bad decisions have been made either by your character or by those around you. It provides a learning experience for your character and either something to work your way back from... or something to end up pursuing, or trying to hide, or agonizing over (to a degree)... it depends entirely on what you want to get out of it, and often helps shape your character to be someone with a richer background/history.
I've had a very recent example - that I won't go into too much detail on - but at the time, I was kind of oblivious to what was happening. Later on when I was writing my report on the events afterwards, I looked at the log... and I was like "... haaaang on a minute... uh... uh-oh... ok, that was bad. Very bad. How did I miss that?!"
Of course I could have let that slip and feigned ignorance to avoid all the consequences, but I couldn't, not when trying to play a law abiding Paladin who would think on her experiences afterwards. I chose to face it head on, which got other players involved in the consequences, and I think we all had fun with the resolution of the situation.
I think that these kinds of situations in game that force you to make difficult/moral decisions are really interesting, as are characters who maybe don't have such obvious or clear agendas that could provide a certain degree of danger for you to deal with in such situations... if that makes sense.
It all contributes to the RPs - which is what we all keep coming back for, I think.