Interesting fact about security when it comes to mobile phones:
Spyware:
ALL software be it Apple, Microsoft or Android comes with spyware. Whenever you open an app you send information to Apple, Google, Microsoft(depend on handset) and the Developer or in the case of Piracy to the group that exploited the app.
On Android Market we get what is called a security advisory that tells us what the application has access to, IE: where it can get information from and send that to its target audience, not so with the other 2 Manufacturer's by them we have to trust the agreement between them and there customers (Developers) that they wont do any harm with this information.
Malware:
If you install only from the official markets you are relatively safe in this area as the markets are mostly covered by people who run it's hands to make sure its clean, and yes there has been malware in Google's shop buy they promptly removed it from both the market as well as the phones that software was installed on. This leaves us with pirated software, depending on intentions of the group that pirated it, if they wanted to just get info, or use your phone to dial some pay line or install a backdoor. I would highly recommend installing an antivirus like AVG(Add supported) from the Android Market if you even think of such activities to limit your risks... actually I would say if you want to pirate be sure you are going to pay for it somehow.