there is always a risk but it can be minimized with the right precautions. Example: you like a certain song get the entire album as to prevent the risk of it actually being a virus. Many can now be as big as an mp3 file now. Do not use the following: limewire, frostfire, sharebear... they are the worst!
It can be safe, it can be dangerous... just depends on how much you know.
Torrent and Zips always have the probability of having some virus, or spam attached to it.
There are two big things to look for when downloading one of these files.
1 - Look at the website (Does it look legit? Have you heard of it? etc.) - If not, don't risk it, even if it says it's a safe file...
2 - Look at the file size. Music should run about 7-9MB depending on format, so if you see a 250KB file and it's a song, it's either ad-ware or a virus of some kind. Movies should be in the 1-2GB, anything less is probably not what your looking for.
Simple things to look for, they will make the difference!