I've never been scammed and I think there are a number of freelaners here who have never been scammed either.
Take care who you work for and you can avoid most trouble (although you'll still run into some every now and then)
Scammed - no. Irritated and kept on my toes by by occasional laggard and airheaded clients who forget they have to pay and need reminding (or think they've paid but haven't) - fine. But I don't think I've ever been intentionally and maliciously scammed.