I've been playing with Linux since RedHat version 5.0, kernel 2.0.32 (If I recall correctly). What numerous other sites and manuals will tell you, I can only confirm.. It has a somewhat steep learning curve, though recently, with all these new install scripts, things have gotten easier.
After getting used to Linux and the philosophy behind it, I found it to be quite a lot of fun. No more "press OK to reboot" messages, after having changed some networksettings, or after installing a piece of software. Just init q or init 1 and back to init 3 would do the trick, when I was still ignorant. Still, not as definitive a step as rebooting.. It took me a while to find out that running the appropiate script in etc/rc.d/initd will do what you want.
What I really like about Linux, is the 'safety', there's ownership, group ownership on every file or directory, along with a set of flags, defining permissions to read, write or execute. So, if your system gets compromised through the internet, while you're connected using an unprivileged account, the cracker can mess with that account, but NOT with your system, unless he gains root-access somehow. Even if there are known root-vulnerabilities, a fix or warning can usually be found on the appropiate mailinglists within days, whereas a commercial OS provider releases patches every so many months. If something's wrong, it gets fixed a helluva lot faster.
If you use a cable-modem, you should use a Firewall, preferably on a dedicated firewall-pc. Configuring the firewall can be quite troublesome, even after reading the appropiate HowTo's and man-pages, but fortunately there are quite some sites which can assist you by generating a firewall-script for you, after you fill in an online questionnaire. If you don't want to do that, you can download several scripts/programs which configure a firewall on your machine, for instance pmfirewall. Of course there are quite a few other programs that will do the same sort of thing.