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well it varies from distro to distro, and with what other software you have installed, and what you are using the server for etc..
ie.. if you don't need something or don't use it at all, then don't install it or disable it..
if you use ssh, then it's best to disable root login.. and add your main user or whatever to the admin group or whatever you call it.. then SU if you need to access with root privs. change the default ssh listening port to something random (that isn't actually a normal used port, by this i mean don't set it to port 80, or 21, or 443 etc)
try not to make usernames called 'admin' or administrator, or manager, or owner etc.. make long passwords containing uppercase/lowercase/numeric & other characters like +-£$ etc..
if you don't use ssh at all, disable it.. likewise with telnet..
google around for more info, there's plenty of sites outthere that will give you info..
http://security.linux.com/article.pl?sid=04/08/20/1546229&tid=90
http://security.linux.com/article.pl?sid=04/08/19/1422204&tid=2&tid=74
http://www.seifried.org/lasg/
http://howtos.linux.com/guides/linux-admin-made-easy/
keep your system current and up2date (try to use stable releases tho)