I suppose it depends to some extent on your computer's spec as to what resources you have available to run lots of real time scanners etc.
I have a total of six security related apps running, anti virus, anti trojan (with registry monitor), firewall, cookie wall and Startup Monitor. If I switched on the Ad Watch component in AdAware that would be one more!
I have AA , Spybot and SpywareBlaster and did try SpywareGuard but removed it because I thought it might just be the straw that broke my (450Mhz, 128MB Ram) camels back!