Well the thing is, viruses nowadays usually have a pretty limited life-span, they will be out in the wild, detected after a week or in a matter of days, blocked by most Anti-Virus programs and then deleted (while also distribution stops).
As most heuristics of Anti-Virus programs are complete crap, the only time your program can defend your PC probably is after it has been detected - around the time the virus is dying out or has already died out.
So if you are actually attacked by a virus your program will be useless in most cases. (Case in point: A recent attack on my computer, which shut down almost everything - firstly MSE - and which I had to track down and remove manually).
Additionally those programs tend to be quite annoying with their alerts and messages as well as slow down the PC.
This obviously does not account for viruses "sleeping" on external hard-drives or USB sticks, which you can always scan manually.
So, personally I would recommend either running an Anti-Virus program which is easy on the hardware (dunno about AVG, but I can vouch for the MSE in that case and cannot recommend AntiVir - mostly due to annoying messages though, any Symantec product or Kaspersky - which probably is pretty good, but also way way too annoying for my taste, also slowed down the boot process to a crawl) or just disable the automatic detection and run it manually on suspicious files.
On top of that have your router's firewall enabled and _maybe_ install a software firewall, but I find those pieces more annoying than actually useful in most cases.
Oh and if you are on Windows, activate system recovery at least for your OS drive (why that is disabled by default is beyond me).
After all the best defence is just yourself paying attention to what files you download and execute and no Anti-Virus program can match that.
