Something that could help with the ever-shrinking window between turning on a new (Windows) computer and getting hacked by some automatic probe is to just make downloading security updates part of the setup process. I installed two Linux distributions this weekend, Mandrake 10.1 and SuSE 9.2, and both did this.
What I liked about the SuSE installer was the way the option was worded. The setup utility asks you if you want to “test your Internet connection.” It tests the connection by downloading the latest release notes and checking for updates! (Unfortunately, it somehow chose an old mirror of the SuSE site—not the one I used during the installation—and the process failed.)