In the world of speculative fiction (and occasionally crime drama as well), one of the time honored plots is “Someone makes a deal with a/the devil and it goes poorly.” We just started watching Jonathan Strange and Mr. Norrell, and in the very first episode a character makes a deal with a supernatural entity for power beyond his own means. In the second episode, the consequences of that deal begin to manifest. Half of plots could be avoided with a little genre savvy (the other half by anything resembling decent attempts at communication), and RPG players tend to be extremely so.
If you’re running a horror game, the odds that the party will separate voluntarily are pretty damn slim (unless the mechanics of the game encourage deliberately poor decision making). Similarly, there have only been a few times in my campaigns where a player has agreed to a pact with supernatural powers, and only when they did it for the sake of the story. A player trying to play optimally assumes that all such deals inevitably end with getting screwed, and will reject them every time.
So how can you include the fairy/demon/lovecraftian horror/genie/eldritch chaos demon triangle plying the characters with power in exchange for unspecified favors without letting it become completely discredited? First off, I think that there needs to justification for said entity to screw the players. Do all supernatural patrons enter into pacts purely to mess with mortal heads and teach subjugated peasants not to take shortcuts to circumvent the social order? No, they have to have their own agendas. Sure in the case of a fiend they want that sweet sweet tasty soul, but a fairy should want something bizarre and specific. Hell, even a fiend might be looking to advance some other agenda, of which the player is merely part, not the focus.
The two occasions on which a player took the deal are noteworthy for a few reasons. First off, it was the same guy both times, and he talked things out with me out of character. Second, both times it was to advance the plot, not simply to get more plusses or sabotage things. In both cases he had a justification for why his character would do what he did, and he made arrangements for it to complicate the story without harming the other players’ fun. If you’re lucky enough to have this sort of player in your game, go to town. Otherwise, beating the genre savvy takes a lot of careful specificity and a track record of not-always-hosing-your-players-to-teach-them-a-lesson.