Windows is full of exploits that are enabled by default. Plugging a usb stick into your computer could automatically install a virus. Or a bug in flash or java could expose your computer.
I started with an Apple II, then spent a bunch of time on Sun and IBM RT machines; then got to university and a Macintosh and a Next station; then Linux; then back to Macintosh where I've been for the last 15 years.
Actually, AutoRun was turned off for external media as of Windows 7. CDs and DVDs will still do it, but only for read-only disks, not read-write ones.