There are a lot of nasty neighborhoods out there if you are using P2P software to share files. There are honey pots that claim to have good content but are only there to spam you with ads or to try and install maleware. There are also sites out there, courtesy of the RIAA that attempt to monitor traffic so they can hunt down people who are sharing copywritten content.

If you're going to use P2P software, PeerGuardian can help protect you. It makes keeps track of known bad IP ranges and it blocks users in those ranges from getting to you. And it keeps you from going to known bad ranges.