This is an excellent blog post by Sarah Perez regarding malware getting on your computer when you click on short URLs on Twitter and Facebook pages. The advice in the article is good so I won't repeat it here.
I'll just add these bits.
Use Chrome as your browser. If you don't use Chrome, use Firefox.
Use Ubuntu or Mac OS X if you can.
If you have to use Windows, it's imperative to keep it up to date and use virus software. AVG and Avast are good choices.