Indeed. Hiding behind the "don't click unknown links" banner is a completely bogus tactic IMO. Sure, you're much more vulnerable when surfing the 'seedy' sides of the intenet, but there is just no way to tell where a link will take you to sometimes. Suppose you go to foxnews.com and their page has been hacked in a subtle way unbeknownst to you. You click on a link thinking that it should be safe since Foxnews is a reputable site. *P00F* you've been p0wned through no fault of your own...
The problem with most of these security discussions is that they're too general. What software load are we talking about? What use of the system? What services are turned on? What's considered third-party or the vendor's fault? What's the OS and what's not the OS?
You have to nail down a specific scenario and rules before you can really make a determination.