Runs in a separate process, added to a site collection level gallery.
User code service: SPUCHostService.exe
Worker process : the actual process SPUCWorderProcess
Proxy : SPUCWorkerProcessProxy - exposing a subset of the sharepoint services. If not exposed, you cannot use it in the sandboxed solutions. This includes all the enterprise stuff - including BCS and search and so on. So do not plan to use sandbox with those objects.
Remember - anything in a sandbox will run a lot slower than if it is not. So sandboxing has several limitations - the one mentioned above (some assemblies are not available if you are sandboxing) and the significant slowdown of the solution. This means that while deploying solutions to hosted web sites will be simpler, it also means you will slow the environment down.
I also like the soution validation - where you can write conditions in code that will be checked when the solution is uploaded - and then allow or prevent the solution from being deployed.
Resource monitoring - you are getting information about CPU, Memory, SQL, Exceptions, critical errors, hanlders, threads and more.