If you want to download the blockchain data from an external source that is up to you, but that does come with risks of the data being corrupted or sabotaged in a way to compromise your machine or Ethereum wallets. So the "security issue" is that you are trusting an un-trusted, non-Ethereum network source when you download the file. As long as you trust the source or want to take that risk your Ethereum client will still validate the data you downloaded as correct for the Ethereum network you connect to (mainnet, testnet [Morden], etc.).
That all being said, I do not know of any third party sites that offer the Ethereum blockchain as a download. If you were to create such a site, it is possible to export and import the Ethereum blockchain data using the commands below
geth export <filename>
geth import <filename>
Using eth (C++)
eth --import <filename>
eth --export Myfile --format binary --from 45 --to latest
(Formats supported: hex (newlines separating), binary or JSON --from and --to also support blockhashes)