An interesting thread developed over the weekend on BugTraq about a flaw in IE (all the way up through version 6 SP1) revolving around the exploitability of "chromeless" windows. Chromeless windows are screen objects that do not have the normal borders and other controls attached to them. As such, they can easily be placed anywhere on the screen, and (here is the problem) be made to obscure or even change important messages from the system.
I present, for your consideration, the following web site (it is not malicious, but you must wait for the ActiveX control to finish loading): Exploit Demo.
If everything went according to plan, and you have Medium or lower security set on your browser, you got a nice system alert that offered to "enable enhanced security for your system".
Do us a favor, and drag that dialog box around. If you didn't just wet your pants, you reacted better than I first did.
Chromeless windows can be made to obscure all sorts of things. Like putting a little gold lock in the browser's status bar, even if the site is not actually SSL-enabled. Or how about obscuring the site you are on, making you think you are on your bank's site, when instead you are on www.Hackers-R-Us.com.
The dangers of chromeless windows were first reported nearly 2 years ago by George Guninski. However, Microsoft considers the issue to be "low-risk", and it continues to be exploitable on out-of-the box installations of any OS containing Internet Explorer, including Win2k3.
UPDATE: Read my recent update post regarding how this is being actively exploited in the wild by phishers: Phishers Are Getting Good.