I make a full image of my system disk at install, then when I add major apps.
I run no anti-malware app of any sort.
Why? I did support for a while and saw every app come in the door on infected machines.
I do not believe 'the cloud' or behavior based tools are the answer either.
The malware changes itself constantly, well less than 60 minutes. Another engineer and I watched a site for two days. Every time we'd go there, we'd get a "new" infection. KAV found the old ones, never a new one.
Closest we came was Prevx, but then got numerous slowdowns.
I have not run any "protection" for two years. I was infected one time by a 'legit' download that I was too lazy to run past VirusTotal. I just restored my system image and 4 minutes later was back.
To make my family feel better, I install Microsoft Security Essentials Beta on their machines. Little impact, and very rare to have a false positive.