If you have installed (or plan to install) Slackware, there’s a great resource on the Web that takes you step by step through locking down your box against remote intrusion:

Basic Slackware Security by dual_parallel and bland_inquisitor

The document actually begins with install and disk partitioning suggestions, but there are other tips such as locking down SSH, editing startup scripts, and running a (provided) Perl script to audit any executables with the SUID bit set.

And while parts of it are indeed Slackware-centric, there are plenty of tips in there that could easily be applied to any Linux distro. Well worth a look.