By far the most common form of malware these days is that spread by social engineering. The typical ploy is to send you a convincing-looking email with a malicious attachment, or which points you to a website which will offer a malicious download.
The best protection against this is a
software restriction policy, because this will stop the executable from being launched from the download folder.
The problem with traditional AV software is that it relies on the threat being known in advance, and it's so simple to code a new executable for this class of malware that the bad guys just keep putting out new ones to avoid detection.
Non-admin user working, whilst advisable, offers little protection because there is a lot of damage a user-level program can do anyway. Like deleting your documents, which are probably of more worth to you than the OS anyway.
I'm not entirely convinced that Linux IS any safer from this class of exploit. Most installations have wine, and will therefore run any double-clicked Windows executables. The difference in stats is more likely because Linux users tend to be more tech-savvy and therefore less easily duped.
The one really, REALLY bad development in this area is Microsoft's obsession with 'Packaged Apps' which run inside user profile folders. The presence of these 'Apps' severely restricts the security protections that you can put in place.