If you're anything like me, or most gamers you probably have more than one game installed on your computer. You also probably use that same internet connection for banking, school or limited work. If you have a tendency of visiting shady sites or using Peer-to-Peer networks to download certain thing then you're putting yourself at risk. Every computer user should make sure they are aware of these rules.
If you can, use a separate computer for downloads, or separate banking and play. If you can isolate the use of a machine, then you help keep your information on that machine more secure.
Build and use strong passwords. It's not that hard to make a strong password, and no l33t isn't one. You can use a free service like the microsoft password checker to see how your's stacks up. Also feel free to think outside the box as you can also use a full sentence or more with punctuation as the password. This makes it easy to remember, but harder to guess.
Keep your antivirus up to date. I'm a huge fan of using an Internet Security suite from any whoever your chosen AV provider is. Adding a firewall usually isn't that hard of a thing, but do some research on your product to see how it stands up to finding and removing threats, as well as how often it updates.
I have a habit of rebuilding my machine ever so often, which I know most people don't do, but it's always a good idea to go through your machine and uninstall programs you don't use. it'll keep it faster, and you'll also have a great idea of whats installed on the machine.