Article by Dominique Cimafranca first published on his blog regarding Ubuntu, and Linux in general.
A simple but effective procedure for evaluating security on your computer is to check what sites it’s connecting to, or what sites are connecting to it. Most critical malware nowadays turn computers into zombies for botnets — typically zombified hosts will connect to a central server using IRC. Or it could be that you’re inadvertently running a program that’s listening for Internet requests. In any case, it’s good to check these connections.