Scams, in general, are the new malware delivery method. Social engineering is the norm. Falsifying a link is the hallmark of phishing scams, seeded downloader Trojans, and other web-based malware. To understand how trivially easy it is for a malicious person to falsify a link, see: "Ferreting out a Fake".
It's never a good idea to take a link at face value; hovering over it or right-clicking and choosing properties is the best way to proceed. For specific instructions, see page 2 of "Ferreting out a Fake". There are many examples of malicious downloads masquerading as something else; the security industry in particular has been plagued with rogue antispyware products that either make false claims of infection (in order to sell product), or drop their own malware onto the system. Most have downloader components that foist other unwanted adware/spyware and Trojans onto the impacted system. Brand name counts when it comes to your security - both in terms of verifying the link is legitimate and that the product is well-known and legit.
While quite a bit of freeware and shareware is legitimate, there are many examples of mischief causing and downright malicious behavior associated with free software. Again, verifying both the reputation of the product and double checking the integrity of the link is key.
P2P networks, a big draw for those seeking something for nothing, are breeding grounds for malware. Some worms deliberately target these networks, copying themselves to shared folders that contain strings related to the P2P fileshares. Other times, criminals use P2P as a distribution method through botnet infected systems. The files are typically disguised as popular downloads, warez, and cracks.
Maintaining a good security posture takes more than just installing the right security products and keeping the system patched. It also means (at a minimum) making sure you are savvy about scams, taking time to check the veracity of any claims, verifying the reputation of products before you allow them to be installed, and making sure the links you click really lead to where you want to go.