Never had anything serious... I've always run antivirus software.
Though a couple years ago, I threw 2000 Server on my old old box, and was setting it up to run my web server... within half an hour of being online, it had contracted a worm. (hooked up to cable modem). NAV killed it once I finally got it installed.
Nowadays, installing antivirus software is one of the first things I do on a new OS.
Also, if MS pulls it off (when have they ever the first time?), Windows Vista will be very much more difficult for Malware to install itself on. I'm running the beta (February CTP) version, and the stupid thing asks you if it can run everything. I mean, you open the control panel, and it asks you if you want it to run. You open the network properties, and it asks you if you want it to run... it's a bit anal, but it should be able to protect many users from themselves.