New malicious link warnings are now included in Gmail. When you receive a link from a known malicious site, you will be warned by Google about the possible dangers of the target webpage prior to the link bringing you to it. Google recognizes not all links will ultimately be dangerous, but it wants users to be extra careful when visiting them.
Gmail will also now warn you if an incoming message cannot be authenticated with SPF or DKIM.
Gmail's link warnings apply to the desktop version of the website.
You can learn more about Google's recent security-centric updates for Gmail here.