One of the things I love about Android is the open framework. This is also a very significant vulnerability. Unlike Apple, who "locks" everything and meticulously evaluates each application in the iTunes Store, the Android Market is open to anyone for uploading. This openness includes the potential for malicious software and applications.
As Mashable reports, Google has removed at least 21 applications from the Android Market for Malware. This reiterates the important premise that you must review each application you download. You can check out this post on Android security. If you ever question the application, be safe, and don't download it.