Rogueware and scareware are big dangers these days.
4 million people are buying these every year
This great thread started by SendOfJive also discusses scareware and ways to react to a malicious pop-up:
Stu: You sure that exactly 4million people are "buying" these? Are you involved, by any chance, or have you got a workstation set-up? ;)
There are currently 10 users online.