I have a relatively heavy protection software by F-Secure on my internet laptop. Whenever I connect a USB-stick or external hardrive I've used at work or for downloads, to my music PC (which is not in the net), I first check them using this net laptop.
I think the most important thing in a protection software is that the service provider has the resources to keep the software up to date all the time. New viruses or other malware do the most damage during the first weeks/months they're out. Then again, I don't visit torrent sites or other risky adresses.