Security and privacy features
To say that security and privacy concerns are a big deal for browser makers would be a gross understatement. All of the major browsers have some baseline security and privacy features, such as pop-up blockers, protection against phishing attacks, and some sort of cookie blocking and filtering.
Internet Explorer 9: IE 9 is easily the most flexible browser out there with regard to privacy settings. Its advanced security settings let you block or allow all sorts of things, but those granular controls are a bit much for most users. For the rest of us, IE 9 offers a choice of various preset security and privacy levels.
IE 9 also includes a reputation-based download checker: If you download a questionable or previously unknown file, the browser will warn you about it. If the file is safe, it'll download the file, no questions asked. That last bit is useful because it reduces "warning fatigue"--you'll get a warning only when necessary.
Firefox 9: Firefox's privacy and security settings cover all of the basics. It can block phishing sites and other malicious sites, and it permits you to turn on Do Not Track to block third-party cookies. Beyond that, Firefox 9 will clearly show you whether a shopping or banking site is safe, questionable, or unsafe via a badge in the address bar. And it includes a link to a Firefox-specific plug-in checker site so you can see if any of your plug-ins are in need of updating.
Chrome 21: Chrome's claim to security fame is the sandboxing feature, which quarantines each webpage you open so that it can't interfere with other pages you already have open, or with anything else on your PC. For example, if a page you visit tries to download a piece of malware to your PC without your knowledge, the sandboxing feature should prevent that site from carrying out its evil deeds.
Chrome does tie into a number of Google services, though; for instance, it uses Google services to autocomplete your search queries, predict which site you meant to visit if you mistype the address, and so on. If you don't trust Google, you'll want to look through Chrome's privacy settings carefully.
Winner: Chrome...with a catch. Chrome's sandboxing feature still makes it the browser to beat, but you should be mindful of its tie-ins with Google's other services.
If you could pick only one...
Google Chrome comes out ahead of its rivals, but the competition is closer than you might think. Although Chrome's simplicity, speed, and good security give it the edge over Internet Explorer and Firefox, both IE and Firefox still have a lot to offer in those areas. But hey, they're all free! Try them all, play with them, and get a feel for them, and soon you'll be able to select the one that works best for you.