Aaron Margosis’s WebLog has some excellent observations on what should be an obvious security precaution for Windows XP users. In a perfect world, you would run as a Limited user, logging in as Administrator only when you need to perform an administrative task. Windows even has a RunAs command you can use to do this on the fly without the tedium of logging in and logging out.
The problem is that running as a Limited user is difficult. Too many programs just assume that you’re running as Administrator and refuse to run properly for a Limited user.
Anyway, props to Aaron for some excellent information on this site. If you’re security-conscious and want to give it a try, go for it!