According to what I found on google, it's safe to delete it. Here's a blue post from the wow-europe forums:
Originally Posted by Igrumu
Hi all,
The bad.piece file was probably generated by the issues we were experiencing with Stage 3 of the patch download over the weekend and on Monday.
It should be perfectly safe to remove this file.
/edit: that post was made in 2008, it seems.
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