What do I have to configure on my server to increase security from default?

I am setting up a Windows 2003 machine to host a website, are there any settings that I should pay special attention to in regards to security?

In other words, is there dangerous default setting I should know about?

The NSA puts out a comprehensive guide to securing operating systems. While not every option will be required for your environment, the explanations about each change are helpful in understanding the reasons for it. NSA - Operating Systems Guide

You can also check out the SANS Reading Room for papers written on a broader range of topics, but primarily with a security focus.