What websites give the latest information on zero day malware or other exploits newly introduced.

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Most of the information about zero-days, running malware or advanced exploits investigation (marketed as Advanced Persistent Threats) is privately owned by some commerical companies (such as Mandiant for ex.).

Apart of that, you can use the traditionnal vulnerability feeds like CERTs or CVE. A feeds list was posted in this related question that might help you as well.

At last, I answered to that question with a small list of websites tracking malware / threats seen in the wild:

Subscribe to this twitter Security List : https://twitter.com/theffernan/lists/it-security-list ( This is not mine .)

You will get almost all the feeds of the kind which you are searching for .

If you happen to be a reddit user the following sub-reddits are of value and stay fairly up to date on new events:

http://www.reddit.com/r/netsec/

http://www.reddit.com/r/Malware/

There are many other ones but these are two of the main ones that have a wider scope than the others. Would recommend exploring the sub-reddits that these two link to as well.

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