The Inquirer posted a story that Microsoft has analyzed the various methods of malware propagation used by attackers during the first six months of 2011 and concluded that zero-day exploits are the least of its concerns.

"As part of SIRv11 [Microsoft Security Intelligence Report, volume 11], we conducted research to quantify exactly how pervasive the threat posed by zero-day attacks was in the first half of this year," said Tim Rains, director of product management with Microsoft's Trustworthy Computing Group.
"We found that none of the most prevalent malware threats used zero day exploits to propagate in the first half of 2011, and less than one percent of attacks using exploits, leveraged zero-day vulnerabilities," he added.

  Microsoft says zero-day exploits are not a major threat