Apple's proprietary solution for sending files between devices has a major vulnerability which can allow a hacker to gain control of your device by disguising malware as a legitimate iOS application. As the package is delivered via Airdrop its automatically delivered to your phone without any user interaction, although its only activated when your iOS device is reset.
Two things here. First of all don't leave Airdrop wide open to anybody, restrict it to contacts only (swipe up on the home screen and tap the Airdrop panel to set this). Secondly, Apple has patched the vulnerability in iOS 9, which should be available to supported iOS device owners now.
Once again the advantages of Apple's limited hardware selection and direct control of delivery systems mean that security is better controlled when compared to competing platforms.