Here's a little tool I've just stumbled across:
Secunia Personal Software InspectorIt scans your computer for software with known vulnerabilities and if the tool finds something it provides links for updates (if available).
I've not done any extensive testing on it yet but have scanned both of the computers I use daily.
On my laptop it found the old Java version I hadn't uninstalled yet, an old version of Flash Player (and even provided me with a link for an uninstaller), and a security update for Photoshop CS2. Adobe apparently didn't think it was necessary to roll that one out via their Auto Updater.
So far I've only found one minor annoyance; an annoyance it unfortunately shares with a lot of other software. It adds itself to the Windows startup during the install without asking for permission.
But other than that I'm pretty impressed.