I use the free version of bearshare. I have never had a problem with them. Normally after I get done downloading my stuff I will do a spyware and normally come up with 1 or 2 things. I have downloaded everything from music, movies, games, and programs.
I had WinMX for a little, but then ended up with a very nasty virus. My father has used WinMX for years and never had a problem. So I don't know.