IE Team at Microsoft blog about the security improvements on IE8 which is currently in its beta stage. They mentioned the following security improvements:
New Safety Filter, greater control over ActiveX controls, and new AJAX features for safer mashups (XDomainRequest and XDM).

The program manager wrote:

Internet Explorer 8 security features target three major sources of security exploits: social engineering, Web server, and browser-based vulnerabilities. This post will cover IE8 Data Execution Prevention (DEP), a feature that mitigates browser-based vulnerabilities.

Complete info (it's only the part 1) at