Another example. Coincidentally, I discovered this week that Apple Mail will run a Mac application thta has been attached to an email directly out of Mail. It will warn you, twice, about this, but Windows warns you about new apps as well that hasn't stopped millions of clueless end users ignoring the warnings and just clicking away. I did a few tests on users at work and they *all* opened the app. An app, combined with the applescript ARDAgent exploit would be an excellent way for an attacker to install a trojan for phishing or zombie purposes.
I just tried this under Mac OS X Leopard, but I cannot reproduce this.