While not as scary as Windows, if you use some Sony/BMG cds on your Mac, according to this Macintouch report, it will ask for your admin password (hey at least the Mac asks!) and then it installs two kernel extensions.
A kernel extension lives behind the wall of protection, so any bugs in the kernel extension could crash your computer, or look at data it should not be, etc.
It really is time for us all to boycott these Sony/BMG products.