I agree more that OS X has less vulnerabilities than Windows, merely for that fact that UNIX has been around much longer, and back when Windows was in diapers, UNIX was getting hacked into and having it's holes fixed.
Just from the perspective of a PC user, and the main reason I think that many veteran Windows users have a real issue with OS X is due to the ways windows and apps are handled in OS X opposed to how they are in Windows. My brother made a comment today about this being what he hates about OS X and why he doesn't enjoy using it.
The main two issues is how apps can be closed on OS X compared to Windows, and the apparent "window clutter" that occurs on OS X when Windows users switch (come to think of it, this was a real problem for me until after about 2 weeks of using OS X when I found out about a really nice feature of Mac OS that is more apparent in OS X than previous Mac OS versions).
I'll deal with how apps are closed first. In Windows, to close an app, you simply close all the Windows in that app by 10 different ways (note: if it's an MDI app, this isn't really an issue):
1. Click the x
2. Click File -> Exit
3. Double-click the control menu (the icon in the top left corner of the window)
4. Click the Control menu, and then click Close
5. Press Alt-F4
6. (not mainstream as it only works in some apps) Press Ctrl+W
7. On some apps you can click File -> Close (usually only those that Ctrl+W works in)
8. Right-click the title bar and click Close
9. Right-click the Taskbar tile and click Close
10. Press Alt+space to open the control menu and click close
On OS X, closing all the windows can be done by 3 methods:
1. Click the Red button that has a x in it when the mouse moves over (if you use the blue colour scheme, otherwise it's grey

)
2. Press cmd+w
3. Click File -> Close
However, on a Mac, closing all the windows doesn't close the app with most apps (I've only come across two that this is not true of, and one of those is System Preferences, which is very inconsistent of Apple). This said, there's three (again) methods, which are much faster than on a PC (unless you're lucky to have all the taskbar tiles in a group so you can right click and click Close Group):
1. Press cmd+q
2. Click the app menu (the bold one with the app's name in it) and click Quit
3. Right-click (or equivalent) on the dock icon and click Quit
I much rather the OS X way here. After realising this and learning the keyboard shortcut, I never find it an issue with closing an app (now I laugh at Windows users who have trouble with it, maybe I shouldn't hehe).
The other problem was that of the "window clutter" on OS X (and any Mac OS that is). This occurs when programs are opened and due to the nature of Mac OS, there is the inability to fully maximise a window without resizing it (there's only a Zoom button - the green one in OS X). When I first started using OS X (my bro does this still), I found myself minimising the windows, so that my dock was full of them (I found a neat keyboard shortcut - cmd+m). My dock looked worse than the screen did before! Then I came across two items in the app menu called Hide
Appname, and Hide Others. I tried them out. It was amazing! The screen clutter went away! This is something I wish was on Windows - a way to hide a particular app, or all the others, without minimising everything (i.e. not the Show Desktop thing). I then realised that this feature was also on OS 9 and earlier, but OS X had a shortcut key for it (cmd+h for Hide current app, and cmd+option(alt)+h for hide others), which made it even better. So, one of my main key combinations that I use is cmd+h. I never minimise anything anymore (so I get a little irritated when I go back to Windows - it's sad, I know). I've lost the "minimise mentality" that many Windows users have to clean up their screen. On Windows, it's not an issue, because the taskbar tiles are there for every window, but on OS X, dock icons are only there for each app, so when you minimise a program on OS X, it makes a mess.
OK, this is what hide does - it completely hides any trace of the app off the screen (except for the little triangle under the dock icon showing that the app is running). To simply show it again, switch to it. If you only want one app on the screen, simply hide all the others. It's that simple.
These two points are things I find that Windows users commonly find difficult with OS X and one thing that makes them not want to use it. But when you actually find out how to fix them, with simple keyboard shortcuts, it's no longer an issue. These are two things that I find make the OS X GUI more efficient that that of Windows.