They ask for a wallet address so they know where to send your coins. Asking for an address is okay. In order to get an address you will usually have to download a wallet and run it. If it's a scam there may be malware packaged inside the wallet. Generally this is not the case. Best defense against a scam is educating yourself and research.
Thanks for you input. I was reading somewhere and someone was saying never give ether address. thanks for clarification.