There are vulnerabilities that could give malicious people (crackers) access to the system, luckily on Linux, the bugs are fixed faster than on other products
And there are a lot of ways to secure the system as well (closing unneeded ports, using cryptography programs, firewalls, .. etc)
Unless you don't run a server (HTTP, FTP, other) I don't see the reason to stay connected.
These site are just a few, that could help you to patch things up.
P.s. running the RHN update help as well.