One of the best things you can do to protect yourself is to secure your browser and email programs. You can make yourself safer by turning on phishing and malware protection, as well as disabling Javascript, Java, Flash, and Cookies except where you need them.
If you're using Firefox, add-ons such as NoScript help protect from browser exploits by managing Java and Javascript. Also, make sure that in the Security Tab of Firefox Preferences, “Block reported attack sites” and “Block reported web forgeries” are checked. Other privacy addons such as BetterPrivacy help protect your personal information by removing cookies and Local Shared Objects (LSOs) that can save personal information and sometimes be manipulated to steal personal information.
Remember, the biggest thing you can always do to protect yourself from threats online is to be careful: don't click on things unless you're reasonably certain you know what they are, and don't click “yes” unless you know what you're agreeing to! Mozilla offers tips to keep yourself safe online.