I've caught trojans with "the cleaner" that weren't detected by Norton AV, so you cannot rely on Antivirus software for protection.
BlackICE was a lot of headaches for me. It basically caused instability which was noted on several friends PC's. I can't remember the exact problem, but BI Defender is long gone now.
Zone Alarm I've tried more recently, but with that I had connection problems with my ftp server, and DCC's with IRC even when it was still installed but not turned on at bootup.
I've been firewall free for a month now... who cares if someone downloads those nude pics of my sister?