Social networking is designed to help you meet people, so when you don't know someone, it is a common response to check the message. Sometimes scammers and phishers will send messages to you from an account they have hacked, so the messages aren't really coming from the person behind the account at all. These messages may look as though they are coming to you from someone you know, so in reading the messages or clicking the link, you have exposed yourself to malware.
Depending on your level of familiarity with these social networks and people you're associating with on these networks, it could be very hard to distinguish a good message from a bad one. Scammers have created websites that look just like the one you're supposed to have been visiting, to fool users into thinking they are in the right place. Even innocently clicking on a hyperlink in a message, you could pass on the very same threats to those in your friends list if you are not careful.