---It's pretty much like running windows with no firewall, no patches, no anti-virus, no anti-spyware, everything enabled and then going out on the web and installing just about anything you come across and crossing your fingers that everything will be ok.---
In all fairness, the DNN framework can't really be expected to protect everyone against doing damage to themselves by not practicing "Safe Installing". The ASP.Net framework and your hosting server does most likely sandbox you into your own environment so that if someone on the same server installs whatever they can get their hands on then you should still be protected.
The same openness that looks like a giant security hole can actually be viewed from the other side as a positive. If anyone were to do something that was damaging as described then you can bet that people would know about it in very short order.
That being said, I do think that people should be warned about giving admins access to upload skins. This is a place where trust can be delegated too easily with all the same consequences as a bad module, but people don't think of skins the same as modules.
http://www.snapsis.com/DNN-Tips-And-Tricks/tabid/560/forumid/12/postid/5242/view/topic/Warning--Allowing-portal-admins-to-do.aspx
As Sebastian mentioned earlier, it's all about trust and risk. And this is the same if you are installing some cool shareware game on your computer, or if you are installing a module.
As an end user you must balance the Trust you give with the Risk you are taking.