I've been directed to many super-sketchy websites while doing Zoltars on several occasions. Towards the end of the reign of the $0.12 Zoltars there were several days during which all of the websites were Russian, or Czeck, or something Eastern European, and most were broken and sketchy... And my AV's browser plug-in was going bonkers blocking all sorts of malicious stuff from those sites.
Otherwise, most of the work on MTurk is safe, unless the HIT is directing you to download something (a TOS violation) or the HIT asks you to access an external website. However, avoiding HITs like those shouldn't be much different than dodging run-of-the-mill internet sketchiness while surfing the web.