Warf,
In most cases, once you have purchased and installed a module a module it will continue to work. At some point you will need to update based on the other factors associated with the Core Version, Database, ASP.NET framework... So, when you are ready to update, one of the action items required is to verify if all modules will work in the new "world".
With the recent release of the Version 5 of DNN, many module require a minimum version of Version 5. However, Version 4 modules will typically work in the Version 5 world, but you need to validate each module.
Your concern is not limited to DNN, but to any CMS or for that matter OS.. When upgrading to Vista, Windows 7, etc.. for each application you use, did you not check to see if it would work on the "new" version. Similar issues ...
If you are concerned, I would stay with just the core modules, and modules from trusted vendors.
Paul.