Our friends at MalwareBytes put up a great blog post that explains in detail why you should not just connect to any free Wi-Fi. The risk is that you will connect to a hostile Wi-Fi access point and there are now also portable hostile access points. Yes you read that right! Here is how it looks:
They started out with: "The high cost of cellular data plans and a desire for free internet access will do that to people. This may sound obvious to those who work in the security field, but many people do not always know where their mobile device is connecting to.
There is a convenience setting on both iOS and Android allowing your smartphone to automatically connect to known networks.
On iOS it is: Ask to Join Networks. On Android it is: Auto-Connect Wi-Fi. Both mobile operating systems are set this way by default. This is a nice feature, if you approach it from the perspective of convenience.
From a security standpoint, this feature can be abused — you could be connected to a rogue access point where all your info can be accessed by a third party."
The risks of connecting to a malicious Wi-Fi network are plenty. Here is the whole article which comes warmly recommended: