http://www.avertlabs.com/research/blog/index.php/2009/02/23/running-windows-... is an interesting report; all the malware he tried ran to at least some extent on wine.
One interesting bit of advice he gives at the end is
"Do not set the file association for Windows executables with Wine. This would enable running Windows executables in Wine by simply double clicking them."
I saw a patch floating by to turn this on by default recently. Maybe we should make it off by default, but easy to turn on...?