What are your thoughts on having an unprivileged user with sudo vs SSH'ing as root for privileged tasks (with no sudo for the unprivileged user)?
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sshing to root is more user-friendly because it cuts out a superfluous step. It lets you avoid a setuid-root binary. It also lets you use exclusively public key authentication, with no passwords set on the remote system (* in /etc/shadow).
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This is a direct consequence of the general rule: privilege gain is the *single most dangerous thing* you can do on Unix, so it's best to use alternative solutions whenever possible.
End of conversation
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