If I were going to pay for a total protection package here's my list:
1. Trend Micro ( I run this at work and we used it at Shell with over 50,000 people on it)
or
2. AVG ( pay for it and the added features are great)
Norton and McAfee are loaded with so much bloat it's pathetic.
Both of the above proggies are very non intrusive.
Windows firewall is decent if you don't have anything else.
Zone alarm, in the past few years, has been know to have issue, especially with connection speeds.
The paid version of ad aware is also nice, but more and more av programs are taking up its responsibility. Even the free version of AVG does a lot. I would still recommend running it. BUT DO NOT RUN ITS LINK SCANNER!! It takes up so many resources it will bring your c to a crawl.
Spybot search and destroy is still #1 in removing all of the hidden baddies.
Also, if you want to have some great online protection, use OpenDNS as your dns server. It does a hell of a job at blocking phishing sites, malware sites and a few others. Also, very great for the parents out there. If you register ( free) its very customizable)
Not only do I use it here at home, I also use it as a backup dns server in case my web blocker softwar eon my firewall at the office goes south.