The "bad wads" mentioned are usually wads with custom-made banner graphics; if the banner has any formatting problems or has too large of a filesize, it will cause a "banner brick" - the Wii will show a black screen instead the System Menu after the health warning screen. Banner bricks are easily fixed if you have Priiloader or BootMii boot2, since all you need to do to fix them is remove the offending wad.
Usually if someone has provided a wad to download (whether it is Wiiware, a custom channel, or a forwarder) it is implied that they have tested this wad and it won't cause any issues. Still, it is advisable to only download wads from sites you trust. By doing so you are very unlikely to encounter a bad wad at all.