I've used both McAfee and ZoneAlarm, and both seem to be quite good. I'd say that McAfee consumes more system resources, but that ZoneAlarm has more annoying alerts. I've also noticed that ZoneAlarm has picked up a few things which McAfee didn't.
I'd say that ZoneAlarm is probably my favourite out of these two. I haven't tried any other firewall/anti-virus/anti-spyware software, so I don't know if there is something better out there.
NOD32 for the win. Very thorough scanning and low resource usage. I would recommend version 2.7 over 3, as 3 is very new and has not yet had all the bugs ironed out.