What are the security concerns I need to consider while coding?

Question

I know SQL Injection is one... what are the others...

Answer 1

Others have said this, but...

Essentially all security vulnerabilities come from data. If your program doesn't process any data it's likely to be secure. It's also likely to be pretty useless :).

That leads to what I think is the core concept of making code secure:

Don't trust your data. Ever.

Sanitize everything you possibly can. You can rely on the security guarantees of your platform (for instance, it's highly unlikely that you'll see a classic string based buffer overflow in a managed language like Java or C#), but otherwise you need to validate everything that comes into your application.