Don't go anywhere Norton or McAfee.
AVG and Avast are good and available for free (in a limited but still useful package)
Kaspersky is what we run at work now and gives us very little trouble.
Sophos is excellent but very expensive for a home user.
I've heard good reports recently about ESET but know little about it.

As for Gargoyle's advice about what sites not to visit, more to the point would be to block adverts as they are frequent sources of malware on ANY site. I use the MVP hosts file (free download) which blocks hundreds of ad sites and saves you a fair amount of bandwith as the adverts are never even fetched. Ideally update it monthly.