MSSE isn't that effective. It's allowed a couple viruses on my PC and on my coworker's computer it allowed malicious browser plugins. I googled and found some comparisons, and it turns out it's pretty much the worst AV.
If you read the reviews, probably McAfee is the worst. A lot of people like MSE and feel like it does a good job for them. See MaxPC for a good yearly review of the latest AV software.
I use NIS, which unfortunately still has a bad rap from when it was bloated and hoggish a few years ago. I guess I just feel more secure with a paid product (although, I never pay for it anymore - there are always the upgrade rebates when the new product is released every year).
I am not a careful surfer, by any means, and the software has come up with alerts, both blocking trojans from my computer, and blocking me from known phishing web sites. It also works with google to let me know if a web site is "safe" (i.e., on the Norton trusted list), so I feel a little more secure. It automatically updates ("pulse updates"), and doesn't interfere at all with any software I run, including when I am online, like with WoW.
It seems like I read somewhere that an unprotected computer is compromised within 8 minutes of connecting to the Internet. Maybe as long as you have a good firewall (and the Norton one is supposed to be bulletproof, one of the best), you don't need an AV, but from personal experience, I wouldn't surf without it.
There are glitches though. Norton hiccuped and saw the D3 beta launcher as exhibiting suspicious behavior, and deleted it. And the older version of the Endpoint software they use at work let one of those scam "you have a virus" things through, which sucked, because it would shut off the AV, which would then restart,
ad infinitum, making it impossible to use the computer, and the admin had to fix it.