There have been reports of an Android "Trojan" circling the web and today McAfee has disproven it calling the rumor "an old trick on a new platform." There has been no evidence of this virus and the user has to specifically install it.
"McAfee could not confirm that the application is in the wild or was ever available via the Android Market application store. The software does not self-propagate and requires that the user intentionally installs it upon the device from another external source"
These rumors are just that rumors but it sends a warning to all Android users be aware of what you install!