Secunia, one of the most well-known website related to security has some tools which helps their users to identify vulnerable application on their system by using online scanner (Java-based) or an offline application (called Secunia Personal Software Inspector). I used this application periodically when i logged into my Windows system, because i rarely logged in to Windows. This is when i mostly do monthly updates for my system and also my application.
Unfortunately, they do not have Linux version up to now. I am hoping that they will start considering Linux users as well. This might help Linux users to minimize the risk as soon as possible when new threats are available.