I run AVG (switched from MacAfee after my subscription ran out, primarily because the updates would not work unless I logged in as an administrator. This is not a problem with AVG. I also run Spybot scans daily. I do not run any software firewall, but I am behind a NATted router.
I am also very careful about not using an administrator account unless I need it, and often do tasks that require administrator privileges from my user account using "run as".
While not a security program per se I also use
PrivBar, which is an Explorer add-on that displays the user ID and group. This helps keep me from forgetting that an explorer window is running as an administrator, or, if I have two Explorer windows running under different accounts, allows me to keep track of which is which.