There are a number of solutions to this problem.
As was mentioned, you can hit a website and download malware to play with OR you can do some other more interesting things...
Some things I've done..Join multiple mailing or user groups and ask for malware submittals. Once you've gained the trust of others in the groups this isn't a problem.
Set up a honeypot. These are great tools, and will teach you more than downloading executables ever will. They are a lot of fun too!
Rowdy, no you don't have to reverse engineer it, but that would be the best way to really understand how it works. Generally speaking, strings.exe(or unix strings) would be the best way to take a quick look at the file. Malware analysis is a topic that's probably best talked about in another thread.
Antionline in a nutshell
\"You\'re putting the fate of the world in the hands of a bunch of idiots I wouldn\'t trust with a potato gun\"