For the Microsoft Windows platform you can use the Automatic Update feature. It allows you to control when and how the updates are retrieved and installed. Using a feature like this can keep you current with patching with a minimum of effort on your part.
The Windows Automatic Update only pushes out critical updates though. You should still periodically run a scan using something like Microsoft Baseline Security Analyzer (MBSA)- a free tool available from Microsoft. MBSA will scan your system and let you know not only what patches you may be missing, but also other security issues like accounts with no passwords or having the Guest account enabled.
You can also go to the Windows Update web site. The site will perform a scan of your system and let you know what patches or updates you are missing. They are divided into three categories: Critical Updates & Service Packs, Windows XP and Driver Updates- so you can narrow down which ones may be important to you.
Even if your system is properly patched, running antivirus software that is updated and current and sitting behind a firewall, it is also a good practice to shut your system down when its not in use.
This advice is particularly useful for those with broadband connections such as cable modems and DSL connections. Users who dial up are generally less susceptible to attacks for two reasons: the 56k connection is too slow for hackers to work effectively and dial-up users only stay connected long enough to do what they need to do and then they disconnect from the Internet.
Users of broadband are generally connected to the Internet 24 hours a day, 7 days a week with connection speeds significantly faster than dial-up connections. No matter how well you patch and protect your system a hacker may find a way in given an unlimited amount of time like that. Most home users don’t implement or check security logs (see Plan Ahead to Catch an Intruder) and would have virtually no way of knowing what their computer was doing at 3am.