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Location: Montpellier, France, Europe, World, Solar System
Distribution: Debian Sarge, Fedora core 5 (i386 and x86_64)
That's a wide question and the full answer depends on your system, environment, use, knowledge, etc. Actually there might be as many full answers as people who are willing to answer
Here are some very basic, very simple advices as a start point...
first of all, as cs-cam pointed out, install an up-to-date distribution and keep it up-to-date (kernel, software, etc...) using the distro update tool (yum, apt, up2date, emerge, etc.)
set a Real root password (other than '000' or 'abcde' or 'john' or your birthdate or your pussycat name... preferably one containing a mix of lower and upper case letters and digits like 'Hf4gpvJ8')
set real passwords for other users as well
keep all those passwords in your headand not anywhere else
make sure telnet and rsh services are disabled (those can be used to connect remotely sending cleartext passwords)
for other services, disable all those you're not using (samba, ftp, http, ssh, nfs, etc...)
for those services you're using and did not disable, pay particular attention to their configuration (non exhaustive list of examples: disable root login for ftp and ssh, disable write ftp access for anonymous users...)
eventually add a firewall that will block all ports (outgoing or incoming) which are not used. If you connect to internet through a router on a private lan, disable dmz on your router and forward to your machine only needed ports.