We always hear...
Do we? I'm notI don't.
Installing some untrusted program as a normal user is a bad idea with Linux the same it is with Windows or Mac: this program has access to all your data and can delete these data, send these data to somebody else etc. Moreover it can make screenshots, control other applications running on the same X windows screen (even if they run as a different user), can grab keys (i.e. keylogger),... For details see The Linux Security Circus: On GUI isolation.
Apart from that we regularly have privilege escalation bugs even in Linux bugs which can be used by an unprivileged user to get root or even kernel level permissions.
Thus don't install any untrusted programs on any kind of system unless you are willing to compromise this system or the data stored on it.