Ability to install plugins directly from the admin interface? Instantly enable them without restarting anything? This is only possible because your plugins directory and everything in it is writable by the web server. In other words, any plugin can mess with any other plugin, or even WordPress itself. The only reason this doesn't happen is because you have yet to come across a malicious plugin.
WordPress plugins can do anything and everything. They are very powerful. Therefore, they should be treated with the same level of caution that any powerful yet relatively unrestrained program deserves. Like ActiveX controls on IE6 (shudder). You don't simply search n' download them for a test drive, unless you really really trust the competence and moral integrity of the author and the repository.