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First off it isn't necessarily better for use on the internet. If setup wrong (running inappropriate programs or with poor configuration) it could be just as bad or even worse depending on what you have running and what you are doing. Setup right and used appropriately it is potentially far more secure. Here are just a few reasons why:
First if your using Linux your not using MS Internet Explorer or Outlook. This is a huge deal and is largely indpendent of the OS. MS has gotten their act together a LITTLE but both of these are still significant problem spots. Outlook in particular was historically awful especially as installed by default. It made spreading Viri extremely easy. Add to this the fact it is so widely used and you have a target and a problem. One of MSs biggest weak spots is that it attempts to integrate software to make everything seamless. This was especially an issue with Windows 9x b/c there was no concept of an administration account (Linux has always had root and other accounts) and thus simply running an executable could alter critical system files without even needing to exploit a vulnerability. Although this has improved with newer versions of Windows there are still issues with MS administration accounts. Then there is Active X--it is a virus! Security has historically been neglected in favor of convience and functionality. I could go on but this is going to get too long to read.
Quick look at the firewall question. Lnux has a strong highly configurable stateful packet firewall that is integrated directly into the kernel itself. This is the logical level to do firewalling and undoubtedly also results in better performance. There are also numerous other access controls (e.g., tcp wrappers) available under Linux. Plus you can go even further by deploying a proxy such as squid. You can keep and eye on everything with integrity tools such as tirpwire and aide. The key is that all of this and more is a standard part of Linux distributions. Using this sort of software and the various configuration options effectively takes experience and time to deploy initially but in the right hands can result in a very secure setup. Done wrong some of these things can make you even less secure.
Finally, if your running Linux your probably rebuilding your system on occassion as you upgrade or try out different distributions. At a minimum you probably have done at least one install and have no fear of doing it again if needed. This can can even be automated. With Windows most people look at the OS as the computer. Thus, chances are cruft will never get wiped clean.
Just remember no matter what your running there have always been vulnerbilities that emerge in software. Probably always will. Keep patched and use common sense. Configure your system wisely (review and learn how it works) and be critical about what you run and install. This will take you a long way toward remaining viri, spam, and spyware free.
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