The csf firewall is a top notch script. The developer, Jonathan is very helpful as well. He's active on his own forums, is a moderator on the cpanel forums, and is often found lurking on the Servint (customer-only) forums. Like Andy, I highly recommend the script. Use mod_security as well for even greater protection. Mod_security is waaay more complicated though... best to get a professional to install and configure it for you.
No RT templates to date have ever had a security vulnerability.
There are no two ways about it.. the security FAQ over at joomla.org must be read by everyone wanting to develop a Joomla site. Follow the simple steps listed there. If possible, ask your host to put you on a server that runs phpsuexec.
Consider this: The Joomla team has to find a balance between security and compatibility. If they really really tightened up the CMS, it wouldn't work on half the servers out there. They can only do so much to the core... the rest is left to the installer/administrator. Things like moving configuration.php and the cache out of the public area of a website, adding more rules to htaccess, etc. With Joomla, you can't just plug and play and expect not to be cracked.
For the record:
I was a smartarse. I didn't start my Joomla journey with a read of the J security FAQs. I had four sites cracked before I visited the J security forums. Since then, there've been thousands of attempts, but no successful cracks. It's a pity most people are like me. It's a guy thing... we hate reading the manuals don't we. /*OT, who wants to bet Dan L booted up his new Mac before reading the manual */