Even firewalls can let in exploit code from malicious (or hacked) web sites. That's where LinkScanner (and its paid subscription brother LinkScanner Pro) from Exploit Prevention Labs (XPL) comes in. LinkScanner checks the results of searches and shows icons that reflect the safety of the site. Hovering your mouse cursor over an icon adds details.
CNET and PC Magazine both have reviews of LinkScanner and the Pro version. As they both advise, it checks well for exploits, but rely on other software to plug the holes in detecting phishing sites. LinkScanner works with FireFox, Internet Explorer, and Opera.
A recent article in USA Today on web page exploit attacks describes some traps that hackers set on a broad range of web sites. LinkScanner appears to be one more layer you should have in your multi-layered defense of your computer.
