I actually had the same issues. It's due to the way osx works with it's file system. It creates a hidden file for every file that exists in a directory that begins with ._
For example if you had mariokart.wbfs in a folder, hidden in the same folder is ._mariokart.wbfs. The file is very small...
It's not the movies or games downloads that I would worry about, like breaking into networks, downloading encrypted things, spying on network traffic. I have seen so many "Top Secret" seals on files when I was a kid
I was obsessed with finding UFOs, a surprising amount of US files where stashed on computers in other countries, China back in the early 90s omg sooo much