Gotta admit it, I'm an inveterate collector of freeware and shareware. I have zillions of files/apps. - all (fairly) neatly classified and filed. Occasionally I forget to annotate the download and can't figure out what it was, but a peek inside with a hex editor usually lets me figure it out. Everything naturally goes through an up-to-date virus scanner though it's never found one yet. In all the dross I've found some real jewels that let me do something easily that was difficult or impossible before.
I've never had anything wreck the machine or do any damage that wasn't easily fixable and that rarely. I take precautions - in Win98 I always ran ERU (and had a recent disk image) and in XP I always create a restore point (and have a System State backup elsewhere as well as on and off-site backups before installing/runnning (I also disconnect from my networks).
More often the app/utility is buggy/flakey and crashes or doesn't work properly - the machine may lockup and require a reboot (rare in XP).
So with all the provisos from the guys above and with sensible precautions I'd say it's fairly safe. And there are some genuine beauties out there.
"Prudence is a rich old maid courted by Incapacity" - William Blake, Proverbs of Hell