Increase of malware found on legitimate websites

According to ScanSafe, 68% of the Malware is found on legitimate websites nowadays. These sites were hacked as a result of SQL injection attacks or via stolen FTP credentials.
Malicious scripts and (hidden) iframes are added in order to infect the visitor with trojans, backdoors and password-stealing malware.
That's why you should always be cautious, because even known legitimate sites can't be trusted anymore.

Also read: A May 2007 / May 2008 State of the Web Comparative

If you're on Vista, make sure UAC is enabled, so Internet Explorer runs under Protected Mode.
If you're on XP - you can read some tips here: How to Surf More Securely by gizmo.richards
In case you're using Firefox as your default browser, install the NoScript extension.