I saw this recently and didnt get time to post it. Vista's going to get some core improvements to security in the TCP/IP stacks and networking features.
Ttake a look here: http://www.microsoft.com/technet/itsolutions/network/evaluate/new_network.mspx
High points for me are:
Auto performance tuning for maximum throughout
Fail back on a dead gateway detection - this is a good security improvement and just makes sense :)
Routing compartments to prevent routing between VPN and local network segments
Theres a new API for third parties to add firewalling functionality