Indeed, its a lot more robust in many ways. Theres the fact that you have to actively save an infected attachment, grant it permissions, run it as an executable and be using a root account for it to cause too much problem. But theres been quite a few proof of concept virii and trojans in the last few months, which potentially could cause issue if someone was to exploit them.
Linux biggest saviour is probably it's user though. My grandma uses XP, my dog uses XP and both use Outlook. Linux users are more vigilant, more aware and have a multitude of different email apps at their disposal. To design a virus/worm capable of spreading on a mass basis in Windows means you send an email, you put a nice header "Paypal refund £500" you attach your .exe/.scr/.vbs/.pif and you only need 1% of users to click it and you have a mass virus on your hands.
Social engineering is probably the single biggest method used to infect people these days, and for that reason windows users will always be more at risk.
That said, these proof of concept virii developed to infect Linux boxes could well infect single terminals, but theres little chance of them propogating to a mass scale. It's been a long time coming but sooner or later someone will put together a virus that will cause problems for comercial entities running Linux. Theres plenty of exploits for Linux, just the very design of linux makes it difficult to target a multitude of users.