Perhaps one can best illustrate this theme of the consequences of choice with a literary work or two, In the short story "The Tell-Tale Heart" by Edgar Allan Poe, for example, the unnamed narrator chooses to kill the old man whose "vulture eye" tortures him. After he makes this choice, the narrator, having buried the old man under the floor, feels that he has safely rid himself of the "evil eye"; however, when the police arrive to ask about a scream the previous night, the narrator, who convinces the officers that there is nothing suspicious in his house, begins to hear a ringing, so he talks louder to the police. Then, to the narrator the sound grows "louder-louder--louder!" until he shouts in his madness, "I admit the deed! Tear up the planks!...It is the beating of his hideous heart!" Here the narrator has never considered his conscience when has chosen to kill the old man. As a result of this exercise of conscience which causes the narrator to believe that he hears the old man's heart beating, the narrator confesses his crime and suffers the consequence of being arrested for his choosing to kill the old man.
In another example, the speaker of Robert Frost's "The Road Not Taken" mentions in retrospect that he once came upon two roads,
Then took the other, just as fair,
And having perhaps the better claim,
Because it was grassy and wanted wear.
However, the speaker has some misgivings about his choice and realizes that perhaps he has missed other opportunities by making the selection of the grassy path.
I took the one less traveled by,
And that has made all the difference.
Thus, the consequence of his choice of the grassy path has meant the elimination of the "one less traveled by" and whatever lies at the end of it. Metaphorically, these lines can be interpreted as a person having made a choice in life in which he is not content with the consequences of that choice and wonders if the other choice may not have produced better results. In the words of the poem, one choice causes "way [to] lead onto way"; therefore, one's life changes as a result of one's choice(s) and one must accept the consequences.
For me, there are two different ways to approach the idea of "consequences of choice":
The first way to interpret this is the consequence of each choice. Any decision forces a choice between different options, and you can think about the theme in terms of the consequence of any particular choice. I see that the previous answer has provided some insight into what this would look like.
Another way to interpret the theme of "consequences of choice" is to consider choice versus fate/destiny, as in whether a person/character makes a choice or if he or she goes along with a path dictated by fate. This then relates to whether our lives (or the lives of the characters) are dictated on a human level or on the level of some higher being that makes all the decisions.