@Jeff F.
I use a software firewall on My PC. I let nothing out unless I know exactly what it is and why it is connecting. I disable the running of any and all auto-update agents(Except Avast my AV program). I update everything manually from the developers website. More work yes. Secure? I don't know, there are a lot of people out there far smarter than I. At least I give myself the illusion of control and security. As an added measure I will, if I suspect something nefarious, connect my box to the internet via Honeywall and sniff every single packet during start up and the first 5 or so minutes of runtime, I check every IP address windoze connects to and inside each packet that passes that I haven't initiated. I can see the LED's on my switch, any random activity on the port connected to my router also raises my suspicions.
Paranoid maybe... My last infection was the Saddam virus on my Amiga.
Of course I only do this for my XP install. My OpenBSD and Ubuntu machines, up until now, allow me to sleep like a baby. I would expect that to change WHEN Linux becomes the dominant OS.