Craig Tuller of StudioPress.com has put together a post that contains information that needs to be repeated on a weekly basis. The basis of the post explains how downloading a theme or plugin from the wrong place can ruin your site. In the article, Craig publishes a small exchange that occurred between StudioPress and a customer who installed a non-purchased copy of a StudioPress theme. As it turns out, the non-purchased copy of the commercial theme contained code which generated links to porn sites on the customers website. This happens more often than it should but going down this road means you inherit the risks that come right along with it.
Not only should the advice Craig gives near the end of the article be heeded, but you should also read this article written by Leland of ThemeLab.com which goes into more detail with regards to nasty stuff that can be found in free themes.