A potential solution is to make small transactions anonymous, but break the anonymity for large transactions. Of course a large transaction could be broken into many small transactions, but it'd be much more cumbersome and expensive.

For specific sanctioned entities, a possibility would be to let users specify a list of addresses they're not willing to share an anonymity pool with.

Here's Vitalik talking about these ideas in a recent interview:

https://podclips.com/c/K3RLE1?ss=r&ss2=ethereum&d=2023-02-28