WNYTractorTinkerer is right Java has been a target quite often and so have other frameworks like dot net and silverlight. One thing is don't panic if you are running Java. First they have to be able to get to it so if you are running a good security suite and have your firewall secure (ie. using something else besides Windows built in firewall) then you will probably be safe. I would do like Kenny and disable the Java plug in, in your browser.
For those using Linux or BSD you are probably using Open Jave which is an opensource version. So if there is a security breech in the code somewhere you will probably see an update within a few days to a week. Once again just make sure your firewall is setup securely. If you don't know how to do this go out to your distributions forums and do a search there will probably be quite a few threads on this subject and instructions.
Just remember your computer is like your house, you leave the front or back door open you will likely get thieves. Secure those doors and you probably don't have anything to worry about.