In game, I've only really seen the Howling Well; a burial maze citizens are not allowed to enter causing disruption to the dead. That doesn't seem to stop them from stumbling into it and exploring around.
I think it'd be very interesting if the Wells had an effect; maybe those who entered would catch some sort of disease or sickness. The traveller within it would not be able to handle the stench of decomposing bodies... and there'd creatures that may lurk in its tunnels that could carry diseases or sicknesses which would easily transfer to travellers. Perhaps their only way to rid their problem would be death, or a very good crystal or blue mage.
Who knows.. maybe some of the skeletons within the wells are the results of permadead explorers who disregard warning signs.
Just an idea.