Linux can be made to very secure, but isn't necessarily any better then Windows.
Security Problems with Windows:
1. Applications have WAY to much system access. Allowing something to install a kernel root kit through your web browser is brain dead stupid. Allowing something to run any arbitrary code through your web browser (read: code that effects anything other then the browser page render engine for a specific page) is brain dead stupid. The same goes for e-mail clients, or anything else with access to the outside world.
2. Too many people run with admin privileges. There should only be ONE admin account on a system. Nobody, NOBODY, should use it as there day to day normal account. Having a sudo like system which temporarily gives a user elevated permissions is fine, but running with too elevated a permission level for too long is asking for trouble.
3. The registry is far too confusing and complex to figure out what should and shouldn't be in there.
On another note:
It should ALWAYS be obvious if you are running with root permissions (or any elevated set of permissions). There should be something staring at you saying "be careful". I like the way Gentoo changes the color on the bash prompt from green to red when you switch to root.
Anyway, I'm just a bit paranoid about security. I use SElinux, Grsec/Pax, Iptables, and ssp/pie even on my desktop machine which has a firewall between it and the internet