The Microsoft Malware Protection Center (MMPC) is a great place to learn more about threats and what you can do to protect yourself from them (it goes without saying that this site is most helpful to Windows users, but others can benefit from reading up on some of its articles as well).
The most helpful part of this site, for me, was the malware encyclopedia. You can learn about common terminology (which will be of use when reading any security-related work) in the Glossary.
You can learn about how malware is named (within the Microsoft Corporation, as well as many other security organizations) here.
Under the "Malware Encyclopedia" tab you can find more information on different types of malware (getting more specific than I did in my first three posts) and specific programs. There's also a "help" section for those who are infected or worried about becoming infected.
Note: There are some parts of the site, particularly those under "Our Research", that are geared more towards advanced "power users". Of course, anyone should feel free to check out those reports. You never know—sometimes you think something is way over your head, but you still learn something valuable from it.
I have to say, they've really revamped their site since I was last there. There's lots of new information, and it just looks nicer in general. I hope it helps you as much as it helped (and still helps) me!