After using both Norton and Zone Alarm suites in the past, I now am a firm believer in seperate applications for seperate functions. Much easier to manage and significantly lower demand on the system.
I use the Comodo firewall. It now seems to have the best rating, and is free.
Anti-virus is all about "definitions." While the paid versions of Kaspersky and NOD32 seem to be rated as the most robust scanning engines, many users find that by keeping free AVG or Avast! fully updated they have excellent protection.
I spent my money on a full-time top rated Anti-malware client, and suggest that everyone do the same. Something like Web-root Spysweeper, AVG Anti-Spyware, or A-squared Anti-malware will go a long way towards preventing infection in the first place.
I use the paid full-time version of A-squared Anti-malware backed up by Spywareblaster and SpywareGuard. Ad-aware SE, Spybot, and SuperAntispyware are installed as well, but only as on-demand scanners. I also use an on-line scan once a week as back-up.
Further protection is available through the use of the MVP Hosts file: http://www.mvps.org/...p2002/hosts.htm
Open DNS blocks many "bad" sites as well: http://www.opendns.com/