In battle
Sand Veil increases the evasion of a Pokémon by 20% in a sandstorm and if on a Pokémon whose type does not already, grants immunity to damage taken from sandstorms.
In Generation V, Sand Veil lowers the accuracy threshold (user accuracy/target evasion) by 20% resulting in an overall 25% boost to evasion — not 20% as stated in game.
Outside of battle
From Pokémon Emerald onwards, if a Pokémon with Sand Veil is leading the party in an area with a sandstorm, such as Route 228 in Sinnoh, Sand Veil decreases the wild Pokémon encounter rate by 50%.