FSExploitMe and Exploit-Exercises
If you are interested in learning about ActiveX exploitation, security researcher/consultant/professor Brad Antoniewicz has created FSExploitMe for just that purpose.
You’ll want a copy of Internet Explorer 8 to get the most out of it, but fortunately you can get a VM running IE8 for *free* from Microsoft.
And if you are interested in getting deeper into Linux exploitation, exploit-exercises.com has pre-built VM’s with capture-the-flag style levels and challenges for each level. It also has challenges for beginners to expert and is designed to teach:
[…]about a variety of computer security issues such as privilege escalation, vulnerability analysis, exploit development, debugging, reverse engineering, and general cyber security issues.