As ozar said, any file could be malicious to a computer, obviously not as much of a threat to Linux as the majority of viruses are aimed at Windows. Not to trail off topic, yes, any file can be malicious to a computer; that is why you always check something you download first before you run it/install it. If you can't check it (if it's a script, look inside the code) verify it's from a trusted source. Shouldn't have many problems if you follow that general rule.
An easy example would be as I said a script that for instance ran
which would shutdown the computer almost immediately after it booted.