Use NOD32 at the mo (used to use AVK which has Kaspersky as one of its engines). NOD32 is the only AV to have ever prompted me about an image with an IE exploit in it - as I was downloading the web page.
Whenever going for an AV, check out detection rates

This is the point where if a Norton/AVG user actually bothers to check, will suddenly be mortified. Some show Norton/AVG fairly high (80%) but most have them at something like 60-70%. For reference NOD32/Kaspersky/F-Secure tend to be at 90% or above.