Banner ads can be and have been used to do drive-by spyware installations. A number of keenspot.com readers (Keenspot is a site that hosts Web comics) got burned when a third-party advertiser bought a campaign, ran perfectly normal ads for a week or so and then suddenly switched them for ads containing scripts which loaded up the reader's computer with nasties.
So, if you feel like going slumming over at GLP, a few commonsense precautions should be in order:
Do NOT use Internet Exploder. Get a real browser.
Make sure you have Java, ActiveX (if your browser supports it) and scripting turned off.
Make sure you have up-to-date anti-spyware and anti-virus tools.
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