http://www.planetary.org/blogs/emily-lakdawalla/2014/0819063...
One thing it points out is that the rocks in that particular part of Mars are special: they are sharp and cemented into the terrain. There are places on Earth that have this kind of rock, but they are unusual. The wheels do fine in a rocks-in-sand scenario.
The article goes into a lot of detail, and it turns out that some of the obvious armchair science explanations for what is happening are not the case. For instance, the main constraint on the mass of the wheels was not keeping the liftoff mass of the payload under some limit.
More broadly, though, there are some deserts on Earth that are pretty hair-raising. The NPS guidelines for driving deep in the Canyonlands (on roads, no less) warns that with a high-clearance 4WD pickup, you should still expect "considerable risk of vehicle damage". Curiosity is going a lot slower, but it doesn't have the luxury of roads or anyone to toss on a spare tire.
Honestly Jeep owners read a warning like that and get excited. Every scar in my paint is a new story, but to your point, getting the tools out in the backcountry is usually not fun.
I'd love to do White Rim whenever I get a chance, the overlooks onto it make it look wonderful. The Maze stuff looks much less friendly, but it's on the 'someday' list.