Another attack (probably the most effective) will scan your computer's clipboard for bitcoin addresses. When detected, it will switch the text in the clipboard to the attacker's address. This way, if you are, say, depositing coins on Gox, when you paste the Gox deposit address in the client, you will instead end up sending coins to the attacker unless you closely checked what you pasted against the Gox deposit address (it's a good habit to ALWAYS triple-check pasted addresses).
Props to whomever came up with that idea
This is so simple, and accessing clipboard is not hard to permit. Good thing I always doublecheck the address, because even without malware we are prone to errors.
Another possible attack would be to distribute compromised clients from the start. Most clients are released with various methods to verify the contents are what the host put there, but there is still some risk there, especially since it's doubtful more than maybe .5% of people actually verify.
I'm very suspicious of those linux mining distros being passed around. It's kinda like "provably fair" thing. People which lack the understanding behind "provably fair" are thinking that someone has bothered to check if it really is provably fair, and just trust it. Same goes to those distros.