Taking a little bit from everybody here, I'd like to put in my 2 cents

Microsoft Windows does in fact have many holes in it that can and will be exploited if they are not patched. Another important factor with Windows, is that you must have the right mix of system policies that work for you, but not against you (ex. FTP out, no FTP in...etc). Also good account policies help. There are a lot of things to look at when securing a M$ box when you put it on the net for the first time. But this is also true with any box you put out there into a production environment.

*NIX has different types of holes, strongly dependent on your configuration files, and system policies, however, with proper configuration, some boxes can be made NEARLY impenetrable.
But nothing is in fact, impenetrable.

Which one is better?
My answer is that they are equally as tough as your Administrator is smart. Meaning that the weakest link in the chain, is the person setting the box up. If they don't stay up to date with security, then security will have a field day with them.

Also, in my honest opinion...and mind you, some people might have to agree to disagree with me on this one Microsoft products are highly scrutinized in part because of their high volume of use. As more people become familiar with a friendly alternative (ie Linux), you very well might see that holes will pop up more frequently, as you will have more people poking at it with their techno-stick.