The health food industries and National Health Federation (NHF) stated that natural supplements should not be regulated by the Food and Drug Administration (FDA) and in 1994 President Clinton signed into law the Dietary Supplement and Health Education Act (DSHEA) which categorized vitamins and supplements as food and not drugs, making them widely available but not necessarily safe. What has resulted is vitamins and supplements that not only do not always contain what they state on the label but might have additions of harmful substances. They have been known to contain mercury, lead, mold and bacteria.
Note: The FDA can remove a product from the market if it's deemed to be unsafe.
It's always best to get nutrition from whole food, but if you prefer supplements, makes sure you do plenty of research.
Quack Watch has a plethora of information about health care and about supplements.
Another good article is Truth about Supplements
Consumer Reports - Hidden dangers of vitamins
Food and Drug Administration
What to look for:
Non Profit organization United States Pharmacopeial (USP) seal (check their list here)
USP is an independent organization that ensures the contents are as described on the label and free of contaminants.
What to avoid:
Complicated ingredient list
Percentages exceeding 100% of recommended daily allowance (RDA)
Supplements or vitamins that may interfere with medication (check with your doctor before taking anything)
Products that may harm or cause liver damage: