Andy Beal reports on a Wall Street Journal article that claims 9% of paid search ads lead to "dangerous sites." Three-percent of organic results lead to risky sites, in comparison to the PPC ads. So on average, the article shows that "roughly 5% of the search results on average were risky sites." The SiteAdvisor study estimates a searcher will click to an "unsafe site from a search engine once every 15 days." Risky sites are defined as sites that can "infect consumers' personal computers or expose them to nuisances such as spam email."
Postscript by Detlev Johnson: You can find additional information at BBC with respect to natural listings that lead to risky sites. As much as 4-6% of search results in natural listings are categorized as risky, while sites in the sponsored listings can be 2-4 times as numerous.
The sheer volume of clicks this can account for is scary - 285 million per month. Search engines are known to try limiting their users from accessing risky sites through their search engines; at least as much as they combat spam. Their efforts will need to continue and be ongoing similarly to fighting search engine spam.