I've already taken the liberty of installing a few themes. The themes installed via Wordpress.org (the in-house installer) have already been scanned for any malicious code, but they may still contain hidden links. Your major problem will arise when you install a theme beyond Wordpress.

To begin the check, click on "TAC" in your Appearance menu. You will get the following screen:

Looking at the above image, you can see that three of the four themes check out as OK with the exception of Static Links. 99% of the time, these static links are links back to the developer's website by way of the footer (trustworthy developers will give you the option to remove them). Clicking "Details" will give you exact details of the link including where the link is located on the page and what code put it there.