RAR files are not dangerous in themselves. They are similar to ZIP files, and their purpose is to contain other files. However, the files that you find inside the RAR file can indeed be dangerous. And malware is frequently spread via RAR files (as well as ZIP files).
There is no harm in opening a RAR file and looking at what is inside of it. But don’t extract the files within unless you are confident that they are not malware, or you have a virus scanner ready to check them. One dead giveaway is a RAR that you expect to contain a video, but when you look inside you see a .exe file. That’s pretty much guaranteed to be malware.
RAR is an excellent technology for compressing files, so you definitely don’t want to shun it. Just be sure to scrutinize the payload found within the RAR archive. Learn more in “RAR Files Explained in Plain English.”