Rejecting a PhD offer after having accepted it. Advice?
I am assuming you are going to go to the better place, so asking our opinion is rhetorical.  

The consequences depend on the people at the university:  if they are reasonable folks, they should understand.  But you never know.

You should do your best to make it as painless as possible FOR THEM.  My suggestion is that you should decide where you want to go, and accept there. And the AS SOON AS POSSIBLE, send a very very nice and very very apologetic letter to the person you had said yes to, explaining that you have decided to go elsewhere.  The key here is "as soon as possible" so they have the opportunity to offer acceptance to someone else -- that will lesson any annoyance they have.