I don't think Sansa went with the Hound, her question "You won't hurt me?" was, I think, because she was afraid he'd make her come with him even though she didn't want to. As I recall, in the books he also offered to take her away, and she declined, unfortunately for her.
I always feel bad because she annoys me with her stupid decisions and wilful blindness, but she really never has much of a chance. How could she be sure the Hound wasn't laying a trap at Joffrey's behest? We see the Hound flinch at the fire and decide he can't take being Joff's bitch anymore, but she doesn't see any of that, all she knows is that this man she fears has abruptly shown up in her chamber, where she has already retreated to get away from Cersei and her drunken madness.
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Better educated sadness than oblivious joy.
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