I think AVG is as good as anything you buy. Norton for example is a huge bloated mess of a program and you will likely experience much greater speed issues with it than with anything you run now. You also need to keep paying for such programs indefinitely to keep your virus lists up to date, which I don't like.

Software firewalls are generally not very good in my experience. If possible, a hardware firewall is the way to go. Most cheap home routers also act as firewalls. A firewall will only protect you from worms that crawl the internet looking for vulnerable services listening on certain ports. It does nothing to protect you from downloading a virus yourself though.

The best protection from viruses is to alter user behavior. In the end, no software solution is ever going to be nearly adequate. Once you have a virus, you're already screwed; getting a program to try to clean up the mess is just slapping a band-aid over the problem.

Get a firewall to save you from the net-crawling worms; then don't download evil or untrusted things, don't run things that come as attachments in emails, use Firefox instead of IE and use something other than Outlook/Outlook Express for email, and you will be as well-off as you can reasonably expect if you run Windows.