You should be very careful when using free themes.
The bad things that can happen vary from warnings, if you change the footer (sometimes rendering you unable to login ) to hidden links, malicious code, and even allowing someone else to have access to your files.
One example is the Proglow theme from DUCK THEMES.
Proglow theme image
After downloading and installing it, I was presented with a nice message no matter of what page on my site i tried to visit :
Free WordPress theme error message
"This theme is released free for use under creative commons license. All links in the footer should remain intact. These links are all family friendly and will not hurt your site in any way. This great theme is brought to you for free by these supporters."
But the funny thing is that i haven’t changed any links in the footer. After doing some searches on Google i ended up reading about malicious code written in base64 encoding hidden in the theme’s files.
Fortunately this was not the case with this theme. Looking in functions.php i found the function named check_theme_footer() that had was creating links to some iphone5 site on co.uk domain, and another 3 links (wordpress themes, SUV review, and something named Jeux PS Vita).
If you want to have your WordPress site back again, just comment function check_theme_footer() in functions.php and this should be all.
I don’t know if the guys from http://duckthemes.com know about this issue, but this is something that users should be aware of.