Amen, they need to fall, and falling when you're a teenager (or younger) is generally sooo much easier than falling as an adult. The sooner we learn certain lessons, the more prepared we are to function on an adult level. There are so many examples--financial responsibility, honesty, driving, personal grooming habits. You name it, the consequences may seem bad as a teenager, but they are often way less serious than if you mess up in these areas as an adult.
Even sex is similar but scarier! By this, I do NOT mean kids should experiment with sex. Presumably, you've given your kid(s) all the information you know to give them. But, you've got to leave them to prove whether they've taken these "lessons" to heart. One thing we did in that area was to tell our kids we expected them to remain celibate until they could afford to raise children but that, if they felt like they could not, they would be responsible for paying the cost of birth control. For us, it worked. I think too many parents assume kids can not control themselves. In actuality, they will try to live up to most of your expectations as long as you haven't been abusive.
Driving is an interesting issue, too. So many parents facilitate driving just for convenience. If they worried more about teenage driving consequences, we might have more responsibility in that area, too. In any area, there are usually "readiness" issues. Parents still need to put their two cents worth in as to whether a kid is "ready" for something. Driving is one of those things parents can control but often don't. Any area where you can step in with your own consequences (like taking away keys) is an area where you should reserve the option of unleashing consequences if need be.
Testing certain life-lessons is essential but frightening. Fortunately, most kids do not test every single thing you tell them. Without putting the random life-lesson to the test, though, it may not become a true part of who a person is.