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.