I cannot stand most AV vendors everything about the software seems untrustworthy, AVG and AVAST. I don't trust them really, they seem bloated and phony. I use Malwarebytes, which was already suggested and I also use SuperAntiSpyware. I also try to watch what websites I am on, and what I download, basically just common sense like someone else has stated. I haven't encountered anything major that I could not remove, I did get have a insanely bad piece of adware/spyware that affected my browsers maybe a year ago that I had to do a system restore, probably was the most annoying piece of adware I have encountered.
I don't use my windows machine very often anymore, but I use Microsoft Security Essentials and Malwarebytes: https://www.malwarebytes.org which seem to compliment each other pretty decently, and neither ever seem to get in the way.