Indeed! Compromised routers (generally Cisco) are routinely traded in the underground. However, these routers are usually compromised by taking advantage of weak passwords, e.g. "cisco" for access and enable. :(
RCS of your router config is your friend. mailing of the diff between authorized config and running config every N mintues to eng-int@network is your friend. Not running "trust everything" configuration on your network is your friend.
Some who trade for compromised routers (one cisco is worth approximately three to five stolen credit cards) specifically ask for routers running BGP, and may pay a premium for this extra.
Who cares? If the other routers are configured correctly, they wont take tainted advertisements. If they are not configured correctly, any Super Secure BGP wont help. Alex