Although true, most often those bad hitchhikers are a few easily trapped gorilla crabs, maybe a fireworm you have to pull out. Live rock rarely brings in anything truly nasty, and the biodiversity it brings can help to keep away the truly nasty pests, like dinos, that can plague dry rock tanks.Definitely. More than likely you will get some sort of bad hitchhikers, Especially if you get a lot of rock.
Though getting a small amount (10lb package from somewhere, maybe) to seed a dry rock tank is an option, if someone wants to keep to an easily-inspected amount.
I love the live rock I started my tank with. The diversity of life is great fun to look at when it comes in, and the amount that's survived in my tank to date is really nice. Colorful algaes, a couple of interesting sponges, a wide assortment of things like clams, tunicates, and fanworms. You can't beat a few years of time in the ocean for biodiversity and maturity.
I got most of my rock shipped air freight from Tampa Bay Saltwater, and highly recommend them. They have small packages available shipped to your door, or their freight packages, and they sent me some nice freebies like an interesting cerith and a sea urchin. I also got a 10lb package from KP Aquatics (also great rock, no complaints, but they're usually out of stock), and a 10lb from Gulf Live Rock (incredible diversity, gorgeous, but had cirolanids).