Don't know if this has been discussed already, but I saw this link on another site:
http://jmcardle.com/
If you're running IE and don't want to click the test link, then what happens is that it opens a command window, allowing it to execute any command it likes. To prove it, the link creates a new folder in the root of your C: drive.
When you consider that this is with SP2 and all subsequent patches applied, it's pretty serious and scary stuff.
Of course, Firefox and Opera are out there and available...