First, consider the elevation dialog itself. It displays the name and publisher of the primary executable that will be granted administrative rights. Unfortunately, while greater numbers of software publishers are digitally signing their code, there are those that aren't, and there are many older applications that aren't signed. For software that isn't signed, the elevation dialog simply shows the executable's file name, which makes it possible for malware already running in a users account and that's watching for an elevation of an unsigned Setup.exe application installer, for example, to replace the executable with a malicious Setup.exe without the user being able to tell (see Figure 1).
Second, the dialog doesn't tell the user what DLLs the executable will load once it starts. If the executable resides in a directory under the user's control, malware running with the user's standard rights can replace any associated DLLs in the location that the software will use. Alternatively, malware could use side-by-side functionality to cause the executable to load malicious versions of application or system DLLs. And unless a user vigilantly clicks the details button and carefully looks at the file path listed for the elevating executable, malware can copy the executable to a similarly named location, for example, \ProgramFiles\Vendor\Application.exe (note the missing space in what should be "Program Files"), where it could control what DLLs the application loads. In Figure 2, I've copied a component of Microsoft Network Monitor to the user-created C:\ProgramFiles directory that's controllable by the user and launched it.
Finally, for application compatibility, elevated applications share substantial state with the standard user environment that a malicious application could use to influence the behavior of an elevated application. The clearest example of this is the user's registry profile, HKEY_CURRENT_USER (HKCU). That is shared because users expect settings and extensions they register as a standard user to work in elevated applications. Malware could use shell extensions registered in HKCU to load into elevated applications that use any of the shell browsing dialogs, like File Open and File Save. Other kinds of state are also shared, most notably the Base Named Object namespace, where applications create synchronization and shared memory objects. Malware could take advantage of that sharing to hijack a shared memory object used by an elevated application, for instance, to compromise the application and then the system.