Firewall:
I've used Comodo since v2 and have gradually progressed along with it up to v3 (inc defense+) - the HIPS certainly has added extra complexity and resource useage but I'm used to it now and appreciate the extra security it offers.
I've also tried Jetico in the past but found it awkward to use, with far to many cryptic warnings.
Antivirus:
Avast - for its comprehensive protection and ease of use (it's virtually install and forget)
AntiMalware:
SAS and MBAM as on-demand scanners.
Spybot S&D, just for it's immunisation feature.
Browser Protection:
Sandboxie - an outstanding security program!
I also use Opera as my main browser which I believe helps reduce my vulnerability.
AutoRun protection:
I've recently added protection against USB stick bourne viruses by disabling autorun and installing AutoRunGuard incorporating USBVirusScan
Ref:
http://autorun.synthasite.com
This setup works well for my needs and keeps resource useage to an acceptable level (using XP SP3 with 1GB RAM)