This is the first window you see (well, imagine a full screen version of this) when starting up after installing it:
As you can see it detects your automatic update settings, windows firewall settings, as well as detects 3rd party antivirus settings. I haven't actually tested this yet since I don't run AVG constantly (edit: just ran AVG and looked in the security center, didn't seem to detect it.), nor do I feel the need for a firewall since I'm already behind a router, but the big red things should be enough to scare most people into letting MS set higher security default settings.
The built in firewall seems to have gotten a makeover too. You can turn on exceptions by application, or by port number. Also notice that MS is gearing more towards laptop/mobile users with the 'don't allow any exceptions' box. Of course MS processes are enabled automatically if you have the option itself enabled, such as remote desktop, netmeeting, and so on. It also seems that File and Printer Sharing and UPnP are disabled by default, which is a good thing.
Here's the thing that makes the most amount of difference to me. The IE6 popup blocker. It actually works really well, blocking every popup on this page: http://www.popuptest.com/ except for the ones that don't open a new window (overlays of some sort which I guess aren't technically popups). It also has the option to disallow popups even if you click on them, as well as allow popups from specific sites and show blocked popups. All of those options are available if you click on either the bar or the icon on the status bar. Of course you can disable the top bar if you were so inclined. I can understand why the bar would be there, though, as the status bar is turned off by default IIRC.
My laptop isn't on right now, or I'd show you the new windows wifi setting. It now allows you to connect to unsecured wireless networks (like my one at home) without having to click the little button that says "allow me to connect even though it's not secured" (I personally just do MAC filtering and turn off SSID broadcasting. WEP doesn't seem worth it to me.) It also comes with a different taskbar icon and new window that shows all available wireless networks and their settings.
And network setup wizard has a new icon, but I don't know why.
Windows update got a new look as well, complete with a 'turn on automatic updates' button and snazzier window effects.
