IE has more security features built in than any of the other mainstream browsers, including Firefox, Chrome, and even Safari, ActiveX is fine to use as long as its done with an exceptions list, basically, only allow MS sites to use it, and block all other sites from using it. There are plenty of good reasons to use other browsers, however, there are no legitimate reasons outside of anti-microsoft campaigning to not use IE(at least IE 8 and later versions).
IE has less security than
any other browser, including Lynx. It's also slower (the script and rendering engines both are significantly slower) and less stable than others (not even considering the memory leaks it's had for the last 3 or 4 versions, which M$ conveniently ignores).
Last I read, a bunch of decent hackers went to work on the latest versions of the 3 browsers (IE, FF, and Chrome). IE lasted under a second, FF 2 or 3, and Chrome almost 15.
The simple reasoning is IE desperately needs a core rewrite to bring it up to date, it still has remnants of IE 4 and 5 in it. It's lagging behind in features (tabs were added long after everyone else had them) and plugins are only kinda-sorta there ("accelerators", many made by Microsoft and slow and limited). IE's security flaws are it's only claim to fame.
Firefox is not nearly as fast as it used to be, but has full support for plugins (it's main strong point). It's also far more secure than IE, with patches fixing problems far faster (usually within a day, as opposed to be an average of something like 3 days for IE). Also, on Windows, I'm pretty sure FF can run ActiveX (I think it had a plugin for that).
Chrome is the fastest of the 3, but that's because it's also the simplest. It has no plugins or advanced features, and has been reported to have problems with AJAX and other scripting stuffs.
In general, Firefox is best if you use the web heavily. It has a number of security addons (and isn't bad off, security-wise, to begin with) and is the only full-featured browser.
If you just need to look something up, Chrome is definitely fastest.
Internet Explorer is good for.... Um, well... Actually, I'm not sure yet. Maybe someone will eventually find something it's useful for. Just let me (or my great-great-grandchildren) know if you do.