I am creating crawler just for pratice and I get something like this every few thousand sites:
What kind of maliciuos software/script can be executed on my PC this way and is there some way to protect myself directly from code?
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The sites you are crawling contain the Blackhole Exploit Kit. AVG advertises 59% (28% from Sophos) of all web exploits it finds are of type Blackhole Exploit Kit. Since your program is downloading the webpage like a browser, the monitoring service in AVG is alerting you of the threat coming down the pipe, unaware that it is harmlessly being thrown away. Assuming you are not rending what you are downloading in a process that loads/executes JavaScript, you are perfectly safe.