Usually common sense can tell you what industries are more shady....gambling, porn, pharmacy, debt consolidation, etc. Just going by industry alone is not enough though. A website can be in very legitimate industry but they might link to some of these shady industries or they might just be a spammy website. Just use your judgement and common sense. It's a good idea to only link to websites who you would be comfortable giving your credit card info to. If they are spammy in any way, skip that website.
Good explanation there vansterdam. I always try to avoid porn, gambling, etc related advertisements on my blog too. I don't want to get bad link name.