The latest instance of this is a flaw in Adobe Reader for Windows that allows a specially crafted PDF file to exploit your machine via the mailto protocol link. The SANS Internet Storm Center documents that the PDF mailto exploit documents in the wild, that is, it’s possible for you to catch this nasty bug off a web page or via the mail.
If you’re running Windows and have Adobe Reader installed, make sure you are running the latest version (links are in the article above). And don’t open any files from untrusted sources. And don’t trust any source.