If you pop a music CD into your PC, you may be getting more than you bargained for. Sony's copy-protection software installs a 'rootkit' that hides from the system process list. There are already examples of trojan viruses that have used this cloaking technology to compromise a system. Another issue presented by this is the concern of privacy for the user, as it has been proven that the DRM makes a connection to Sony via the Internet without informing the consumer in the EULA.
Microsoft will soon release an update to remove the cloaking portion of the DRM, but details on removal of the actual service are shady at best.
Mark Russinovich at SysInternals has posted more detailed information on the security issues and vulnerability of the DRM software, and has instructions for manually removing the Sony DRM.