A prime example is the OpenBSD project. That can't be said for NT, Sun, HP, et al. Closed source software is somehow safer because attackers can't see the internal workings. Well, guess what - most of the time they don't need to. Most software security problems stem from a few basic programming flaws, such as buffer overflows, and can be easily found and exploits written by mid-level to expert programmers.
Tools exist to help automate the process of finding the buffer overflows, and other common holes.
There are also kernel and compiler patches for Linux that will stop most buffer overflow attacks dead in their tracks. Anyone can look at the code and propose a fix to the maintainer of the code. Usually these will be included in the next revision, if they make any sense or are useful. Fixing bugs is a lot easier with Open Source. Sometimes fixing one part of the code will break another, but with Open Source code, there are usually many people that understand the code, so providing a comprehensive fix is usually not a problem.