An article posted on SecurityFocus quoted:

Building on a Wall Street Journal analysis of the 20 million search queries leaked by America Online that found “free” to be the most popular search term, SiteAdvisor warned that the results produced by such searches frequently lead to malicious Web sites.
“Often, so-called ‘free’ items are anything but free,” the company, recently bought by security firm McAfee, stated in its advisory. “Free screensaver and games sites are notorious for bundling spyware and adware with downloads… Free e-card sites often share users’ e-mail addresses with third parties and can lead to a never-ending influx of spam… Ringtone sites frequently lure consumers with misleading offers of free tones that ultimately lead to automatic enrollment in paid subscriptions.”

I admit, back in the day free stuff used to be cool to download. These days, however, they are packed with spyware and other not-so-nice things. Always have to wonder, “why is this free, what are they hoping to get?” More often than not, to get something installed on your computer or get your “clicks” on their sites.
I honestly have more trust in downloading cracked commercial apps through my regular channels as opposed to free sites. However, when looking for legit free things, I put a lot of faith in SourceForge-hosted apps and anything from a website that looks like a real developer just offering out to the world some little tool he/she created to do something cool. Anything else like free screensavers and the like are just not really worth the time and effort and risk.