For those of you that download files such as cracks, patches, or utilities, check the file size of the software before you download it. If the file size is very small for a software program (say, 48 kilobytes for Adobe Photoshop 8.0 + patch), then this is probably a worm in disguise. Allow your virus checker to have a go at it if you're not sure, but do not execute it.
Why, then, do so many people share these files if they are worms?
Take the Supernova worm. It copies itself into folder \Windows\Media\ renaming itself as things such as winrar, half life crack, etc. and opens the media in that folder to Kazaa (as well as other nasty things.) People who don't check their software folder often will unknowingly share these files with other users hoping to download what these programs seem to be. Ergo is another lesson: always keep track of what files you have.
Remember, if you accidentally trigger the file, an antivirus program will detect it (hopefully). Go to the specified site or look the virus up on the internet for information on what it does and how to disable it.
Remember, intelligent downloading is fun downloading!