Using Collection Index pages in Sandvox it is possible to create a form of vertical site navigation menu. I also discovered in doing this that you can turn-off the horizontal navigation menu (see this HowTo)

The key to a vertical menu is to have a Collection Index pagelet on each Collection folder (page) that is checked to 'Include  pagelets from parent'.

As you drill down the Collection folders, the pagelet for the current folder is added to the others in the menu list. (Clicking links to see picture)

--> Collection Level 1

--> Collection Level 2

--> Collection Level 3

An example site is here [Click the link to open new window]:

http://www.isawhow.com/_tests/vertical-menus/

The disadvantage is that the vertical menu can get longer than the end-user's screen.