Here is an interesting presentation from Rémi Chipaux a former colleague from itrust consulting.
He is talking about his research work on setting up some honey pots for collecting malware samples. The idea is quiet simple, buy a Raspberry PI (it costs around 20-30 euros). Install in it a honeypot tool like Cowrie. Then, just wait for getting impacted by malwares spreading in the wild. It is pretty amazing indeed to see as he explains that it takes few minutes to get a malware uploaded to your host.
Here is his talk:
Dr. Tejeddine Mouelhi