Question: There comes a time when time-outs don't cut it anymore.

Normally, when my kids exercise poor judgement, I let them experience natural consequences. However, sometimes their actions go against what we are teaching them and the consequences are rewarding. 

When pre-teens break the rules or disobey, what consequences are appropriate?

Answer: 
Developmentally, preteens and teens are at the age they are supposed to question everything. This makes for some delightful challenges. The piece that helps with their questioning is that they also like to feel like they have some ownership or control over their life. It is absolutely appropriate at that age to sit down with your children and review the family rules and discuss them - find out what your children think of the rules - are there any they think should be added, amended or deleted. Ask them to justify any changes they are proposing and afford them the same. The more you involve children in these age groups with decisions, and explain the though behind them, the better decision makers they will be when you are not standing next to them. Additionally, ask them to help establish consequences. Depending on your child's personality, writing these out and posting them may have a great power for avoiding consequences. 

It is additionally important to have behaviors that will earn rewards and discuss those along with what the rewards will be. Most tweens are still very interested in pleasing adults and if they know that sweeping the kitchen floor will earn them a reward (thereby letting them know it has pleased you) they are more likely to complete the task. 

I do recall the "worst" punishment from my parents at that age was having a discussion about my bad decision, what was so bad about it, how I was going to rectify it and what I was going to do in the future - they were agonizing talks at the time, but they taught me how to think about results of decisions I make, eventually I was able to foresee the discussion and therefore avoid the behavior.
Besides taking away privileges, it is really important to kids this age to express themselves as individuals. You may not always like what they choose to wear but sometimes it's tolerable. Make sure you have given them enough so that there is plenty to take away.

How they want their hair done.
A special pair of shoes.
Food they like to share with their friends.

If they like to sleep in on the weekends. Make them go to bed early and get up early in the morning. Then have them do something physical; pull weeds, lifting heave objects, etc...