In general, you should only install modules from drupal.org. Stable module releases (i.e. those that don't have an "alpha" or "beta" appended to them) are monitored by the Drupal security team. For a module to be posted, it has to meet the Drupal coding standards. Neither of these is sufficient to guarantee that bad things won't happen when you install the module (including consequences potentially as bad as deleting things from your database), but that happens rarely.