It's safe to download .swf and .pdf files

And here's why

Have you ever seen one of the following

Google chrome is warning when downloading files with the following file extensions
  1. .swf files
  2. .pdf files
This behavior is known not to occur in other Internet Browsers (Such as: Internet Explorer, Mozilla Firefox, and Opera)

Onto the point

Adobe Flash Player is software for content created on the Adobe Flash platform. Flash Player is capable of viewing multimedia contents, executing rich Internet applications, and streaming audio and video. In addition, Flash Player can run from a web browser as a browser plug-in or on supported mobile devices. Flash Player was created by Macromedia and has been developed and distributed by Adobe Systems since Adobe acquired Macromedia in 2005.

Portable Document Format (PDF), standardized as ISO 32000, is a file format developed by Adobe in 1993 to present documents, including text formatting and images, in a manner independent of application software, hardware, and operating systems. Based on the PostScript language, each PDF file encapsulates a complete description of a fixed-layout flat document, including the text, fonts, vector graphics, raster images and other information needed to display it.

PDF Security Has Improved

Yes, PDF security is better now

Adobe added a sandbox named "Protected Mode" in Adobe Reader X. This runs the PDF in a limited, locked-down environment where it only has access to certain parts of your computer, not your entire operating system. It's similar to how Chrome's sandboxing isolates web page processes from the rest of your computer. This creates much more work for attackers. They don't just have to find a security vulnerability in the PDF viewer -- they have to find a security vulnerability and then use a second security vulnerability in the sandbox to escape the sandbox and do damage to the rest of your computer. This isn't impossible to do, but much fewer security vulnerabilities have been discovered and exploited in Adobe Reader since the sandbox was introduced. You can also use third-party PDF readers, which generally don't support every PDF feature. This can be a blessing in a world where PDF contains so many questionable features. Chrome has an integrated PDF viewer that uses its sandbox, while Firefox has its own integrated PDF viewer written entirely in JavaScript, so it runs in the same security environment that a normal web page does.

Flash Player Security Has Improved

Yes, Flash player's security is better now

the Symantec Global Internet Threat Report for 2009, found that Flash Player had the second lowest number of vulnerabilities of all Internet technologies listed (which included both web plug-ins and browsers)
In 2011, Flash Player had emerged as the de facto standard for online video publishing on the desktop, with adaptive bitrate video streaming, DRM, and fullscreen support.