I think we're confusing several issues here, including system security and user protection.
I have a firm belief that a computer is a tool, and a toy. It's a machine created by people to do our bidding, to entertain us. We joke about the idea that machines may one day rise against us, but I think that point has already long since come.
I suppose it would be nice if every time we tried to hit a nail with a hammer, the hammer stopped and asked us "Are you sure I'm not going to hit your thumb?" and we'd get to check the path of motion to see that no, it was headed for the nail, and continue.
Computers are supposed to do what we tell them. Microsoft have a very bad reputation for guessing when we're about to do harm. Apple's approach was much more successful, but plenty of people will still deny that Apple have reached the point where the machine's artificial intelligence is suitably transparent. Until we reach a point where people have discovered a way to endow a computer with the ability to learn and grow and understand the user, the choice will always be between annoying messages and the danger of causing harm. There's no way out of this. Generally, I prefer the computer to just do as it's told and not question me unless it has very good reason to do so. (The ability to undo changes to the system would be interesting though, but that's a complex issue for another day.)
However, this all only works under relatively special conditions. Mac OS 9 fits them perfectly -- single user (who needs more?), no remote attack vectors (apps commuicate via IPC so no need for open ports) and the user base is so small that no-one cares about writing viruses for it any more. (There are all of, what, 20 Mac viruses?) The fact that my Mac unquestioningly obeys me at all times must contribute to why I've loved it so much. I don't need tools that answer back and refuse to co-operate.
Other systems however are a bigger target. Windows, because of its prevalence. Linux, most likely because it's a dominant server platform. That's where you start having problems with malware, and the fear that the instructions the computer is receiving are not authorised by the user.
There are different angles to this, too. My approach is to run Windows as Administrator-level at all times, but behind a NAT router at all times. That keeps out the really dangerous offenders -- worms. I don't run Internet Explorer or Outlook Express (except for special circumstances) so I eliminate other large attack vectors. I'm extremely careful about what software I download and run, and if I'm really uncertain about its safety I will virus check it, although I don't have real-time scanning -- I consider it a waste of money and performance on my ancient PC. (Anyone remember real-time scanning on a 486? Now that was painful.)
I've kept this up safely for three years. In the mean time, I've been helping a friend in the US -- one of his friends has a PC that was dreadfully infested with garbage. That sort of situation brings home why so many people just cannot be left alone with a Windows computer: they are going to get into a mess. And it's not just viruses any more that threaten us, but identity theft and fraud.
Linux seems to be stradding the middle. I'm told that Linux has more viruses than Windows, but I've never seen evidence that desktop Linux is a credible target yet. Servers, very definitely, and some bad guys may not differentiate. I've even had someone try to hack my Mac, I think (since it is a server), but I'd already discovered, by myself, that hole and patched it and written about it.
Of course, as people above say: part of the problem simply is badly-designed software. We had some open-access iMacs at university and I wanted to put DivX onto one of them. No go. The DivX software has to be installed with admin permissions, probably because the developers never considered that someone might want DivX on their own user account and not the whole system. (Mac OS X makes extensive provisions for deep configuration of accounts independently of the system.) StuffIt I believe, also, has to install as admin. MSN Messenger 8 in Windows, had to be installed as admin.
The sooner people learn to truly understand the difference between user and system configuration, and setting inheritance control, we can make progress. Last I saw, the presence and appearance of the Fast User Switching menu in OS X -- whether it's a name or an icon -- is a global setting, so if any user alters it, everyone gets the new appearance. That makes no sense at all. No sense at all.