An example of a rogue security application is Antivirus XP 2008, this piece of malware finds thousands of non-existing threats on your system which it promises to delete once you've payed them some money. One of my friends was recently hit by this program but fortunately the free version of Malwarebytes' Anti-Malware took care of this problem.
This has happened to me twice now, on two separate computers at work. My clipboard has been hijacked with this:
[ malicious URL deleted ]
And once it’s in the clipboard, I can’t copy anything else over it until I’ve restarted the machine.
I’m only going to websites that are directly linked off the main page of digg.com, so they’re not obscure, and I’m surfing in firefox, though the system wide clipboard is getting taken over, so I can’t even copy something over that from a program like TextEdit.