A post on Stack Exchange can contain a link to any website. This is no different from any other website. Like pretty much any website with externally contributed content, even if you trust the site owners, you can't trust all the contributors.
A post on Stack Exchange can embed images. Those images can be hosted on any website. Images are normally not malicious, but this could be a vector for exploits of browser bugs. Today bugs involving JavaScript are much more likely than bugs involving image parsing. Users cannot put custom JavaScript in their posts on most Stack Exchange sites. A few sites (not Security.SE) support Stack Snippets which allows posts to contain custom JavaScript code. Obviously this code is sandboxed so it shouldn't be harmful barring bugs.
Do note that Stack Exchange posts can embed images that are hosted on external servers. This doesn't make them potentially malicious, but it can be a breach of privacy. If you view a post that embeds an image that is hosted on a third-party server, then the administrator of that server will know that your IP address viewed that image on that date.