At this point, I would say that wallet security is definitely still beyond the average person. Hopefully, sooner than later, options will emerge that make securing your coins less technical.

Check out this link for some information: http://bitcoin.org/en/secure-your-wallet

The best way to secure your coins is to keep them offline. So, ideally you would have an offline machine or storage medium (flash drive, or paper, for instance) that cannot be reached through the internet.

When I decided to get serious about security, I bought a cheap Ubuntu notebook to keep strictly offline. I verified the PGP signature of my wallet download and transferred the install to the notebook. Offline, it can still generate a wallet and address -- I use this address on my online machine to send coins to cold storage.

If you keep coins on an online machine, make sure you encrypt your wallet with a strong password, set firewall to deny incoming connections, and ensure that your antivirus software is adequate/operational and fully updated. And don't keep your passwords saved on your machine. (All of this is still true with an offline machine)

You may look into running Linux/Ubuntu as a LiveCD on your Windows machine (disable networking/unplug all cables upon mounting), so you can simulate an offline machine without affecting your Windows OS.
https://en.bitcoin.it/wiki/How_to_set_up_a_secure_offline_savings_wallet

Also, take a look into PGP/other encryption. I prefer to keep the directory that houses my wallets/backups encrypted as an extra layer of security. It's complicated, though, and may take some time to get the hang of using it. You can encrypt single files using terminal commands (http://askubuntu.com/questions/98443/encrypting-files-and-folder-through-terminal) or look into something like TrueCrypt.

Damn it. I made this sound even more complicated. The fact is, it may take some time and frustration to understand everything. I still feel lost, myself, much of the time.