The thing to realize about running Linux is that, for some people, it is a target of opportunity. If someone with less than ideal morals finds out you are running Linux, a rootkit is not a really hard thing to have installed on your machine. Once that happens, it is somewhat of a b!tch to get rid of. Wouldn't it be nice to have some other user using your machine to launch DOS attacks?
Linux is not the end-all be-all of security. It takes diligence to secure just like Windows. A system is only as secure as the administrator makes it.
Yeah, Windows has some nasty exploits...but so does Linux. If neither are taken care of, both systems are in a world of hurt.
I run both Linux and Windows. I've never had a problem with either...because I am diligent in adminstering my systems. I am behind a hardware firewall connected to the broadband connection. My Windows box runs ZoneAlarm, and my Linux box is running IPTables. I don't go willy-nilly downloading things, and I check my downloads when I do grab something. All things downloded go to a reserved partition or physical drive, so that if I do have a problem, the damage is minimal. It took me about a day and a half to get Windows to the point where I felt reasonably comfortable to be connected to the outside world. It took approximately the same amount of time to "secure" my Linux box.
A system is only as secure as the administrator makes it.