NetworkWorld has an article on the main threats that loom for smartphones. They are:
- Rogue applications
- Traditional malware
- Privacy and data collection issues
- Social engineering
Likewise, other malware shouldn't be much of an issue either. If you are only getting your apps through your platform's application store, external apps shouldn't be able to get on your device, no matter how hard you try. However, if you jailbreak your phone so you can open it up to other apps, you also open it up to malicious programs outside of an application store.
Now, there are very valid reasons to jailbreak your device, a process that US court systems have declared legal. If you do though, you just need to be aware of the risks. Unlike a PC, your smartphone doesn't have anti-virus protection, nor should it. Those little devices sometimes are working full out just to move menus around seamlessly for you. They don't need the drag of antivirus apps sucking the power from your processor.
The one that will be the most serious is social engineering. Too many people fall prey to this on their PCs by clicking on links and allowing actions in the hopes of getting a really cool sparkly cursor, or to help some prince in a foreign land get his money out of the country. It is like they say, you can't cure stupid.
One of the best protections against this is to use a service like OpenDNS which blocks phishing sites and similar destinations of social engineering tricks. However, this type of option isn't available to many smartphone owners.
I think the risk of malware is real, but it isn't imminent. Platform designers have learned a lot since the days of Slammer and Blaster. As users, we just have to be prudent about where we go and what we click and your phone should not be a source of concern for you.