I would point out that the apps you find in these third party markets are the same ones you find in the Google market and I believe are submitted by the author of the app. Google doesn't do much vetting of the apps in their market (unlike Apple), so even something you download from Google could be sketchy.

If you want to be super safe, don't download apps posted on file sharing sites like 4shared, mediafire, and rapidshare, etc.

I particularly like slideme.org and andappstore.com as their market apps will notify me when a new version is available and make updating the app really easy.