Zone Alarm is the devil. No really, it is. I did tech support at Earthlink (before they decided to give our jobs to people in india), and earthlink sends out zone alarm bundled with it's crappy software. Seriously, in my experience with the average computer user, Zone Alarm is more trouble than it's worth, many people had problems figuring out how to configure it, or configured it improperly, and the whole process is a bit counter-intuitive. Also, it is kind of a POS, but it is free and you get what you pay for sometimes.
Macafee and Norton are both pretty bloated, and with Macafee in particular, installing the firewall with spam blocker usually makes it impossible for Outlook to fetch your mail. I'm not really a big fan of software firewalls in general, I'd rather have a good hardware firewall, but if you are going to install one Sygate is pretty good.
As for antiviruses, I use Etrust InnoculateIT. It works quite well, though it may not be as user friendly as some other products. I never had any problems with Pandasoft, but I would stay away from Macafee and Norton, as they tend to be resource hogs.
With both a firewall and a good antivirus, you will still want to run a couple spyware cleaners once a month or so. I use Spybot and Adaware. It is recommended to use at least two scanning programs, as they can miss things that the other will pick up. Ewido is something I don't generally keep installed, but will employ if nothing else is working. Also, killbox is a good tool if (and only if!) you know what you are doing with it. Keep in mind though that adware cleaners are not antiviruses, and won't protect you against some of the worst nasties.
I guess in the end, what you need is really directly related to what kind of user you are. If you are a light user, ie, someone who uses the computer to surf the net, play a few games, check email and that kind of thing, you aren't going to need a heavy duty IT grade antivirus and firewall. The average user probably has a better chance of being struck by lightening than being hacked, and really you just need something that scans incomming files and email for viruses, trojans and that kind of thing. If you run any kind of server, do a lot of PVP filesharing, run linux or unix, then you'll want something a little more potent to ward off more agressive potential threats.
Anyway, I am going to stop blathering on now, hopefully you got something useful out of all that.