The most fun are the ML models shared in pickle format. They can contain executable code and who knows if that Stable Diffusion model you just downloaded will make your image generation dreams come true or is just full of viruses!
There are ways to verify the safety of these models but I doubt most users will go through the effort.
It you do check for security issues yourself, you'll need to read up on what magical methods/variables may cause code execution. Simple demonstrations of dangerous code can be found all over the web (https://stackoverflow.com/questions/47705202/pickle-exploiti...) but I'm sure there are obfuscation tricks that simple scans won't catch.
There are ways to verify the safety of these models but I doubt most users will go through the effort.