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.
It's your private keys, wallet.dat (BTC and most others) and keystore (Eth) that you must never give out.