Unfortunately, all systems (not just Windows) have the potential of being susceptible to an attack that doesn't involve any user interaction. Some random machine can ping your system with a carefully-crafted packet and Bingo! you're pwned
Such flaws are most commonly discovered and exploited on Windows because of the larger attack profile created by the massive installed base; but whatever you run, something like that can get you whether you're smart or not. Of course, such an attack is much more likely to get you if you run Windows - market forces in action, in a realm other than the economy.
This is the main reason that you should never expose a version of XP less than SP2 to t'Internet - the default firewall settings introduced in SP2 will help to take care of most such attacks for you. But still, all it takes is a new and more cunning exploit and all your common sense amounts to naught
EDIT: Oh, and of course you're much better off when you're NATted rather than directly-connected, and all the other various ameliorations. I wonder how long it will be before somebody crafts a malformed UDP packet that can get through most NAT setups to 192.168.0.1 - unless it's already been done.