I just noticed this study on the news. I am not going to tell you the results, so you can find out yourself and sleep better or not

The study was done independently by three Ph.D's. It compares Windows 2003 and RH Linux with a default installation, and amongst other comparisons, how many days your server is at risk before a security fix is available.
Here is the main link:
Site
and a PDF of the results:
PDF
Enjoy!