Version:            (using KDE 4.2.2)
Installed from:    Ubuntu Packages

When dolphin's built-in terminal is open and you change a directory, a "cd /path/to/your/dir" is automatically appended to the terminal and then executed.
So far, so good.

I encountered a case where I had a mannualy typed "rm -r " in the terminal, then clicked on a directory and the "cd ..." got appended to that incomplete line and then executed.
So, the files "cd" (non existent) and the directory I changed into got automatically deleted. Luckily, this was a directory I wanted to delete anyway.

My suggestion is now that dolphin sould clear the terminal prompt before entering it's "cd" command.