There are a number of concerns with pulling code from the Internet e.g. code quality and whether it contains malicious actions.
The PowerShell gallery has implemented a couple of features that should help.
All modules have to meet a minimum quality standard as outlined here – http://blogs.msdn.com/b/powershell/archive/2015/08/07/powershell-gallery-new-security-scan.aspx
You can also use Save-Module to download the module to a safe location so you can inspect the contents.