In general, it's dicey to click on any links in unsolicited emails -- you could get taken to a spoof site that's trying to steal your personal information, or you could get a computer virus.
When in doubt, take a moment, and search the Internet for the company that sent the offer. Go directly to the site and confirm the offer is real. If necessary, send an email to the customer service center. If the company offers a live chat option, you can confirm the legitimacy of the offer right away.
The bottom line is that there are legitimate sites on the Internet that do offer free beauty products or samples. For example, large cosmetic makers like Cover Girl or Olay might offer to send you free goodies for filling out a survey, entering a contest, or registering on their web site. Sephora lets you pick three free samples, but you have to make an online purchase to get them. Just be careful to read the site's privacy policy to find out how the company will use your information. For lesser-known sites, also read the fine print to make sure you won't be charged for shipping and handling.