The free and paid versions of Lookout Mobile Security (download) have added two new features today that work together to protect you against malicious apps, especially those installed by side-loading or from third-party marketplaces.
While Lookout scans apps installed from Google Play by default, it now asks you if you want it to scan apps from other sources with Install Monitoring. This is for people who have changed their Android settings to allow non-marketplace apps on their phones. Side-loading is when you download an app to your phone and manually tap on the APK to install it. You can also optionally set Install Monitoring to scan all side-loaded apps.
The second feature is File System Monitoring, which sits in the background and watches your SD card for file changes. When a new app is downloaded to your card but before it has installed, it will automatically scan the APK. However, it doesn't work in situations when you have to un-mount your SD card to transfer an app manually. During those situations, Install Monitoring would provide the security scan.
File System Monitoring can be disabled in Lookout's preferences, while Install Monitoring can be toggled the first time you use side-loading with it installed. Unless you're more adventurous with your app installation practices, there's a good chance you won't ever use either option -- but its good to have them there regardless.