Firewall: Kerio (now sunbelt) Personal Firewall, other pro's are it has version control abilities in that it will pause and/or block the execution of programs if the crc has changed on it, you can set to allow, deny allow/deny always. Same goes for applications spawning other applications. Or you can use the "most allowed" setting in which case it'll let your pc get away with most things, but still block potential rouge software connections. It's free to use, but you pay to have additional protection of web filtering, which is available for use for free for the trial period.
on that note i have used lavasoft firewall as well for friends pc's, looks pretty good too.
antivirus: Avast, free registration required, it has its moments where it's a pansy and acts spastic, but a reboot usually fixes that (i bring it upon myself by running it for ages after it nags me to reboot post-new-program-updates)
anti spyware: Spybot (
http://security.kolla.de ) and adaware (
http://www.lavasoft.com ) do the trick.
Also im running a squid proxy on my linux pc and have got "ad zapper" on it which can get rid of 90% of adverts on pages, saves me bandwidth, and gets rid of 90% of the pop over/under ads